I noticed that nosotros made a 20-day high inward the S&P 500 Index (SPY), piece 20-day median daily volatility inward SPY (median daily make over the past times xx days) made a 20-day low.
Going dorsum to 2000, nosotros accept had 130 such instances of 20-day highs inward stocks as well as 20-day lows inward volatility. Five days later, SPY averaged a loss of -.32% (52 up, 78 down). By comparison, for the repose of the sample, SPY averaged a loss of -.03% (1158 up, 1065 down).
I likewise saw that, equally nosotros made the 20-day high inward SPY, my Demand mensurate of upside momentum (an index of the number of NYSE, NASDAQ, as well as ASE issues closing higher upward the volatility envelopes surrounding their moving averages) was lower than my Supply mensurate (stocks closing below their volatility envelopes). Since September, 2002, when I began assembling those data, that has occurred 61 times. Five days later, SPY was downward past times an average -.45% (24 up, 37 down). By comparison, for the repose of the sample, SPY was upward past times an average .07% (904 up, 760 down).
In all, the declining volatility as well as momentum during a deed to novel highs has been associated to a greater extent than amongst short-term correction than a bullish edge. As I mentioned inward the eve briefing, the rally is looking a fleck tired.
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