Objectively things arent that bad

B

blueberrycake

I read with great interest Acrary's posts regarding the collapse in daily ranges and in daily follow-through in the S&P market.

After running a quick test, I agree that things have fallen off recently, but in historical context things aren't particular bad.

Attached are two charts. The first is a 40 day average of daily follow-through (ie measure of how much the daily price expands the previous day's range) converted to a 0-100 oscillator.

The second chart is a 40 day average of the daily range as a percentage of the price at the time.

The follow-through is a little lower than its historical long term average, while the daily range is still considerably higher than anything we've had prior to the late nineties.

While I will be the first to concede that these aren't the only measures of trading difficulties, by these two measures things arent particularly bad.

-blueberrycake


Here's the follow-through chart.
 
Here's one more chart that I found interesting. This one measures the intraday trendiness by looking at the distance between the open and the close divided by the distance between the high and the low.

The presumption being that if there are strong intraday trends then the distance between the open and the close should make up a significant portion of the daily range. Here again the results dont show any drastic declines in daily trendiness. In fact, it's actually higher than it's long term average.

Because the chart was very jagged, I smoothed this one with a 100 day MA rather than a 40 day as in the previous charts.

-blueberrycake
 

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