Here's how Terry's Volume Oscillator ("VO") looked in the first half of April 2010:
3 | 1-Apr-10 |
26 | 5-Apr-10 |
29 | 6-Apr-10 |
5 | 7-Apr-10 |
12 | 8-Apr-10 |
25 | 9-Apr-10 |
29 | 12-Apr-10 |
9 | 13-Apr-10 |
39 | 14-Apr-10 |
18 | 15-Apr-10 |
The VO turned negative on April 16 and stayed negative for five trading sessions as prices continued to rise, tipping off investors that the up trend was losing strength:
-66 | 16-Apr-10 |
-54 | 19-Apr-10 |
-16 | 20-Apr-10 |
-27 | 21-Apr-10 |
-17 | 22-Apr-10 |
The VO climbed to 0 on April 23, before turning over on April 26 and becoming vastly negative as the rout ensued:
0 | 23-Apr-10 |
-19 | 26-Apr-10 |
-97 | 27-Apr-10 |
-56 | 28-Apr-10 |
-11 | 29-Apr-10 |
-71 | 30-Apr-10 |
-33 | 3-May-10 |
-99 | 4-May-10 |
-129 | 5-May-10 |
-231 | 6-May-10 |
-284 | 7-May-10 |
Compare how the VO has been behaving recently:
1 | 4-Oct-10 |
52 | 5-Oct-10 |
38 | 6-Oct-10 |
22 | 7-Oct-10 |
39 | 8-Oct-10 |
27 | 11-Oct-10 |
33 | 12-Oct-10 |
61 | 13-Oct-10 |
27 | 14-Oct-10 |
-2 | 15-Oct-10 |
17 | 18-Oct-10 |
On October 19, the VO turned negative for four trading sessions:
-40 | 19-Oct-10 |
-11 | 20-Oct-10 |
-18 | 21-Oct-10 |
-12 | 22-Oct-10 |
The VO climbed back to 0 yesterday, before rolling over to -5 today:
0 | 25-Oct-10 |
-5 | 26-Oct-10 |
I thought this was an interesting similarity. We'll see how it plays out.
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Posts
Here are Terry's midweek comments about the volume oscillator pattern
ReplyDeletehttp://ttheory.typepad.com/files/ttoaudio20101027.mp3
And the volume oscillator chart:
http://ttheory.typepad.com/files/next-bear-t20101026pdf.pdf
As always thanks for pointing out a very interesting findings. Accurately, it comes at the same time the last consumer index has just been released and shows today consumer/contraction numbers are WORSE than at the bottom of the 2008 recession. Last time numbers were so bad (Sept2008), it was just before the market plunged.
ReplyDeletehttp://www.consumerindexes.com/
Not to mention exhaustingly bullish sentiment on the indexes, especially Nasdaq. And, last thing, if we look at the market as a big ABC since July low, the current C wave has been stopped right at the fibonacci 127.2% extension from AB. Gor the last 4 bars I noticed 3 big doji or hammer or inverted hammer (almost a gravestone, very tiny body)...I think your predictions of a top for today, so earlier than the one calculated by Terry, might come true.
Carl - very interesting. Thanks.
ReplyDeleteFor those who are not familiar, 127.2% extensions are important in Fibonacci because 1.272 is the square root of 1.618.
Carl is saying that the rise from 1040 in late August to ~1190 recently is 127.2% of the rise from 1011 in early July to 1129 in early August.
By the way, would anyone like nightly updates of Terry's Volume Oscillator?
ReplyDeleteI could dedicate one thread per week or month to it, and go back and update it each night until the week/month was over. Then start a new weekly/monthly volume oscillator thread.
Let me know if that's something you'd like to see.
Thanks for posting and yes, nightly updates would be terrific.
ReplyDeleteI'd like to see that VO Parker!
ReplyDeleteThanks,
Jim
I'm interested in anything you like to show. Steep learning curve for me. Thanks for your work.
ReplyDeleteSame as Anna here...thanks !
ReplyDeleteThank You , thank you, I know you have our best interest at heart. Yes run the oscillator!. Thank you....Nick
ReplyDeleteNew here. I would thanks for your help.
ReplyDeleteParker thanks for the work. I see a nice insight each time I read a posting of yours.
ReplyDeleteI remeber Terry used to nightly update to his graph till few months back then he started doing twice a week and then now only mid-week. It will be very nice you are willing to do same nightly update. I had created excel with terry's formula to calculate those values and followed up for some weeks but did not continue myself.
ReplyDeleteThanks for the responses, all. I'm not sure I can post a graph or chart, but I will certainly post the values.
ReplyDeleteThank you PositionSizing, Your tremendous work and originality is greatly appreciated. Jack
ReplyDeleteParker, you are a genius! calling for a price top to occur 10/27!
ReplyDeleteThere must be some magic in that old silk hat you're wearing!
Bill
VO would bee much appreciated:-) tanx PositionSizing!
ReplyDeleteParker, you may have just accurately called the top, if so, really great work! Question for you. If we go down and then bounce back up off of Terry's mid channel line (into early/mid Nov. prior to null echo low) do you see that bounce going higher than the Oct. 25 1193 high(ES price). Anythoughts greatly appreicated, thanks again, Hunt
ReplyDeleteThanks all . . .
ReplyDeleteBut let's not put the cart before the horse. We bounced off the bottom of the uptrend channel at 1172 this morning. That channel, which connects the October 4 and October 19 lows on the S&P, needs to break before anyone can declare the uptrend is dead.
Thanks for all your postings. I am trying to follow the Vol oscillators in excel and was wondering if you could please tell us the formula for the 18 day Vol Oscillator. I know it takes "yesterday's number" times 90% and then adds 1 times the net volume. My question is how do you calculate "yesterday's number" as the starting point? thanks.
ReplyDeleteAs you note, the formula is:
ReplyDeleteToday's 18 Day Volume Oscillator is always = 90% of Yesterdays 18 Day Volume Oscillator + Today's Net Reduced Volume.
The 36 Day Volume Oscillator always = 95% of Yesterday's 36 Day Volume Oscillator + 0.5 times Today's Net Reduced Volume.
The final Volume Oscillator calculation would be Today's 18 Day VO - Today's 36 Day VO.
As for a starting point, you have to have 19 days of Net Reduced Volume data to get your first 18-day VO reading, and 37 days of such data to get your first 36-day VO reading.
As a shortcut, Terry also provides the current 18 and 36 day numbers in the data at the bottom of his chart.
ReplyDeleteSee:
http://ttheory.typepad.com/files/next-bear-t20101026pdf.pdf
Thanks for the explanation in constructing the Vol Osc. What's the formula for the "starting point"? I have the historicals on the net vol. Is the first data point for the 18-day VO some sort of average of the first 19 days? thanks.
ReplyDeleteIf you want to construct it going forward using Terry's starting points, here's the values for yesterday:
ReplyDelete18 day VO: 65
36 day VO: 70
Parker
ReplyDeleteThe S&P hourly chart seems to best capture the move since early Sept.....and we look to be bouncing off the support trend line. it does not yet look like the up trend is finished.
Here is the chart
http://stockcharts.com/h-sc/ui?s=$SPX&p=60&yr=0&mn=3&dy=10&id=p25244125993&a=212236893
Note however, the complete lack of support for the move in the RSI and the MACD
Bill
Parker..
ReplyDeletewhat is going on with the clock on the site..my post above shows time of 12:52 pm, yet I posted it at 3:52pm (15:52 hours)
Bill
Hi Parker,
ReplyDeleteThanks you for all your great work.
Do you know how to construct the channels around the volume oscillator?
Thanks,
Bob
Stock Traders almanac mentioned a mid-term election trade. You buy the market 5 days before the midterms (today) and sell 3 days after the mid terms. This trade has won every year except one since 1934 with an average win of 2.7%
ReplyDeleteJust for info.
Steve C.
Bill -
ReplyDeleteThanks for pointing the clock issue out. For some reason, I was on Pacific time. Now I am on Central time.
Yes - we bounced off trend line support at 1172 today.
Bob -
They look like Bollinger bands, but I don't know how Terry constructs those channels around the volume oscillator. Perhaps he'll tell us.
Steve -
Thanks for bringing that midterm election Almanac play up. I think I mentioned it in the comments of a blog entry a couple of weeks ago.
Parker
ReplyDeleteTerry recently offered a suggestion that the Keltner bands could be structured to "be similar" to his channels. (I can check to see what math he suggested I think it was 56, for middle band and 3.5, for the channels... some apprentice had come up with the idea and Terry agreed it was close.). but to the best of my knowledge, and I pay attention, he has not disclosed how he creates his channels.
Bill
ReplyDeleteI thought Terry was talking about Keltner Channels as a substitute for his Envelopes around price.
Bob was asking about the channels on the bottom of the chart that enclose the Volume Oscillator. I'm sure some form of Keltner would work there as well, however.
whooops
ReplyDeletemy bad!
Bill
Parker
ReplyDeleteI have been examining my market timing indicators this evening...all data is current as of the close. as you know, there are major divergences almost every where I look. For guys reading this who may not have access to real time charting, The Parker Sentiment indicator has been diverging now for the past 3 days. There is also an unanswered divergence for 2 days back in mid Sept.
My own momentum indicators generated a Sell signal on Oct 19, and today confirmed that signal. Long positions are in serious jeopardy
Bill
Bill
ReplyDeleteLike you, I have a proprietary algorithm which generates buy and sell signals.
I got a sell signal on 10/21 and another sell signal on 10/26.
Parker