Archives of our intraday charts have been available since we started publishing them earlier this year, but if you were interested in seeing just one chart over a period of weeks or months, it was a bit cumbersome to pull up each day’s full set of charts just to see one. To address this, we’re creating ‘slideshow’ pages focused on a single indicator. Pull up this page for the Cumulative TICK slideshow and you’ll be able to quickly scroll back and forth through months of intraday charts (click on the right side of the chart for the previous session, the left side for the next session). Similar slideshow pages for many of the intraday and end-of-day charts we publish will soon be available.

I’ve included some of Wayne Whaley’s ADT and UDT thrust indicators on the nightly datasheet. One set is based solely on S&P500 component data while the other is based on NYSE data. Charts of these indicators should be up on the site soon. See Monday evening’s column for a brief description and for more in-depth reading see the ‘Planes Trains & Automobiles’ article at WitterLester.com.

The SPX internals intraday page has been expanded to include sector analysis, including sector-specific advance/decline data. This is one area I’m interested  in exploring further upon completion of my SPX database. What are the tendencies when breadth in a sertain sector is heavily lopsided positive or negative, or when certain sectors lead/lag on the day? These are some of the questions I’m interested in exploring.

I haven’t discussed the relative volume charts recently, so for those new to the site a quick introduction… The upper left chart provides a look at how today’s volume compares to yesterday’s session and the 30-day median. The upper right chart is essentially the same information but plotted as a percentage change vs. yesterday and vs. the 30-day median. For instance, you can see volume was running 30-40% below Tuesday’s levels after the first hour but by midday it was tracking slightly above Tuesday. The lower left chart is a 30-minute ROC of volume. This chart usually takes the form of a U, with volume heaviest in the early and later parts of the session. When it deviates from that tendency, it can highlight unusually heavy volume. The lower right chart provides a visual look at how today’s session compares to the last thirty. Early in the session the line was running at zero, meaning volume was running lighter than each of the last thirty sessions.

I’m in the process of moving many indicators to the upper pane of the EOD charts to make for easier comparisons with price. For instance pull up the Cumulative TICK chart and you’ll see the 20-day moving average is now on top, making it easier to compare with price and to see when it crosses the zero line.

End-of-day charts are now available in a PDF chartbook format. Look for the link each night when the charts and data sections are updated.

Wednesday represented the first down day for the S&P500 in over a week, a pattern that traditionally leads to a higher S&P close the following session. The last thirty instances in which the SPX closed lower after a series of five or more up days are listed below. Note the tendency for the dominant uptrend to resume the following session. In 23 out of the last 30 occurrences, or 77% of the time the S&P closed higher the next day, well above the 55% random chance for a higher SPX close one day later in the same time frame. Few instances led to an outsized move – there was only one 1% down day and two 1%+ up days in the last thirty occurrences…

First down day after a series of five or more up days
12/15/10… S&P500 ??? next day
11/08/10… S&P500  -0.8% next day
10/27/10… S&P500  +0.1% next day
07/14/10… S&P500 +0.1% next day
04/16/10… S&P500 +0.5% next day
03/08/10… S&P500 +0.2% next day
01/12/10… S&P500 +0.8% next day
12/29/09… S&P500 +0.0% next day
11/10/09… S&P500 +0.5% next day
10/13/09… S&P500 +1.8% next day
09/11/09… S&P500 +0.6% next day
12/01/08… S&P500 +4.0% next day
07/10/07… S&P500 +0.6% next day
06/05/07… S&P500 -0.9% next day
05/08/07… S&P500 +0.3% next day
04/19/07… S&P500 +0.9% next day
04/11/07… S&P500 +0.6% next day
11/20/06… S&P500 +0.2% next day
10/27/06… S&P500 +0.0% next day
08/21/06… S&P500 +0.1% next day
03/20/06… S&P500 -0.6% next day
01/10/06… S&P500 +0.4% next day
11/28/05… S&P500 +0.0% next day
10/03/05… S&P500 -1.0% next day
07/18/05… S&P500 +0.7% next day
06/20/05… S&P500 -0.2% next day
02/17/05… S&P500 +0.1% next day
11/08/04… S&P500 -0.1% next day
08/03/04… S&P500 -0.1% next day
05/28/04… S&P500 +0.1% next day
10/08/03… S&P500 +0.5% next day

Our Relative Volume page at http://markettells.com/intraday-charts/relative-volume/ now tracks E-Mini S&P futures, SPY and NYSE volume on a relative basis throughout the day. We’ve also added in a chart for each highlighting the spread between today’s volume and yesterday as well as between today’s volume and the 30-day median. Note from Tuesday’s relative NYSE volume chart that the spread (in green) between today’s session and the 30-day median continued to rise throughout the session, indicating volume was expanding at a faster clip than the recent average. This is difficult to spot on the standard relative volume chart until later in the session. The black line on the spread chart also reveals how today’s session compares with yesterday’s on a percentage basis. Note that the lines for both ES and SPY hovered right around 0 for most of the session, indicating volume was tracking at roughly the same level as Monday.

You may have noticed that the link to Tuesday’s chart was an archived version of the live page, which is something we’ll be doing on a daily basis from this point forward. In time this will hopefully become a useful research tool. For now you can find the archive links at the bottom of the intraday chart page. If time permits, we may expand the archives, as we’ve already created historical relative volume data for the purpose of more in-depth research. Does elevated ES volume early in the session usually lead to a trend day? How high is ‘elevated’? Is E-mini volume more predictive than SPY or NYSE volume? Is unusually low relative volume a good predictor of a range-bound session? These are just a few of the questions we seek to answer, and I hope to begin posting some of the results of our research as soon as next week.

For more background on Relative Volume, I encourage you to read the following posts from Brett Steenbarger’s Traderfeed… Relative Volume and Volatility: Understanding Who is in the Market and Relative Volume and Movement in the Stock Market.