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Tradewinds

NYSE Up Vol Minus Down Vol Compared to SP Emini

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This thread is on the subject of the NYSE Up Volume minus the NYSE Down Volume compared to the SP 500 emini. I will call the NYSE Up Volume minus the NYSE Down Volume, NYSE net volume.

 

Here is a chart of the NYSE Net Vol compared to the SP emini. The es does not follow the NYSE Net Volume on this particular day. I do however watch the NYSE Net Vol as an indication of the "pressures" being put on the price of the es.

 

It is important to point out that the Net NYSE Volume and the ratio of NYSE Up Volume to NYSE Down Volume are two very different things. Calculating the ratio is not "straight forward". The reason has to do with situations where the net volume oscillates back and forth between negative and positive values. In those situations, special math is required to create a ratio that displays an accurate and meaningful chart line.

 

Displayed is a graphic comparing the Net NYSE volume to the /ES. They are quite different. The Net NYSE volume is very steady and up-trending all day long, but the /ES is not. I only point this out as an observation, not to imply anything. Because there is often no direct and consistent relationship between the Net NYSE Volume and the /ES, I put most of my attention to other indicators. But, I still consider it very important to "keep an eye on". The Net NYSE Volume will often move very hard in a direction before the price of the /ES moves substantially. It's not a lot of forewarning, but I look for all the good information I can get.

 

 

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5aa7108127e1c_NetVolComparedtoES.thumb.JPG.60b9236e2be66c20856f6a9324145e1b.JPG

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Your data is giving you the cumulative "net". That is why is there not much to compare to price.

erie

 

Thank you for that information. Is there a way I can verify the difference between cumulative net, and the net on each bar? Is there a website that gives the total Up and Down NYSE volume for the day?

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Thank you for that information. Is there a way I can verify the difference between cumulative net, and the net on each bar? Is there a website that gives the total Up and Down NYSE volume for the day?

 

While some technical people find issue with these volumes, you might try using volume data from just the S&P stocks which is available from some data vendors as is the Tick for S&P stocks only.

 

For closer correlation to price activity you can use the S&P only AD line.

 

The premium arb guys often trade simulated baskets that only include the top dozen or so of the 500 by index cap weight.

 

 

Cheers

 

UB

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For closer correlation to price activity you can use the S&P only AD line.

 

Thank you for that info. I actually do use the NYSE Advancers and Decliners as a better and more directly correlated indicator of the emini SP 500 (ES).

 

In the future, I may try to get data feeds that give me the raw data, and I would create my own Advancers and Decliners list. Right now I'm working with something very basic, but good enough to make very good trade decisions.

 

Currently I process the NYSE AD data in a couple of different ways. I think of it as a couple of layers of processing, or a couple of steps, or refined down into more and more minute details.

 

Even with all that processing, there is still the issue of interpreting what the information really means, and determining correlation between behavior and price moves.

 

I've actually created a program that combines NYSE TICK, NYSE Up and Down Volume, and NYSE AD, that creates a very closely related correlation to the ES. The irony is, that I haven't found a particularly good use for it. Analyzing the parts separately instead of together seems to actually give better indications of what is happening.

 

I think of it as the same concept as trying to predict price from price. Which I have found no value in, and no use for. So even if I have a conglomerate indicator that matches the ES very closely, it's the same as what I see on the screen for price. It's not something that I intuitively understood. It seemed to "make sense" that creating an indicator that matched the ES would be the perfect trading tool. But if it matches the ES, then what's the difference between that and the price on the screen? Nothing. And if you can't predict price from price, then how can you predict price from a very close match of price?

 

I can't. Maybe I'm missing something. But I seem to have found a few things that I think are going to work very well.

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Thank you for that information. Is there a way I can verify the difference between cumulative net, and the net on each bar? Is there a website that gives the total Up and Down NYSE volume for the day?

 

You can get the info here:

Markets Diary: Closing Snapshot - Markets Data Center - WSJ.com

 

From the home page go to "Stocks", then on the drop down , trading diary. It would do you well to track the advancing stocks and declining stocks as well. To track the net on each bar you will need to chart the diff from bar to bar. Stockcharts .com also keeps these statistics. Hope that helps..........

 

erie

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Tradewinds,

 

You are probably aware of this, but just in case..

 

The S & P is a weighted index and the top 50 stocks comprise approx 50% of the index by weigh.

 

While its old see tx-0.org: Index Component Weights of Stocks in the S&P 500 for a general idea.

 

Basket activity in these 50 stocks may not move the NYSE Tick much, but will sure move the index and so ES. Of course the opposite also applies.

 

Cheers

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Tradewinds,

 

You are probably aware of this, but just in case..

 

The S & P is a weighted index and the top 50 stocks comprise approx 50% of the index by weigh.

 

While its old see tx-0.org: Index Component Weights of Stocks in the S&P 500 for a general idea.

 

Basket activity in these 50 stocks may not move the NYSE Tick much, but will sure move the index and so ES. Of course the opposite also applies.

 

Cheers

 

Thank you. I was not aware of the details of the weighting. So I appreciate that info. I'll need to look into how I could get the raw data and process that myself. I need all the pieces of the puzzle I can find. Thank you for posting this info, because critical information is sometimes not readily available.

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I have heard that the ES, which are futures, are sometimes used to hedge large investments of stock. This to me explains correlation of large volume increases on any timeframe. For myself I don't find that this provides an edge.

 

Cheers

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