I think I have something. The 1 day % change in the SPX is
broken in to parts: U for the stocks going up and D for
the stocks going down. The 1 day % change in the SPX is
equal to U minus D. In normal times money flows either into
stocks or out of stocks so that when U is large D is
small and visa versa. The past few weeks, U and D have
both been large, causing the great volatility of recent.
It may not be predictive, but U&D have concise definitions
and should be useful for confirmation of events.
U D SPX
03/17/00, 1.7769, 1.2245, 1464.47
03/20/00, 0.9019, 1.5390, 1456.63
03/21/00, 2.6858, 0.2296, 1493.87
03/22/00, 1.5791, 0.9852, 1500.64
03/23/00, 2.3240, 0.6131, 1527.35
03/24/00, 1.0046, 0.9327, 1527.46
03/27/00, 1.0631, 1.2465, 1523.86
03/28/00, 0.4604, 1.5958, 1507.73
03/29/00, 1.5874, 1.5572, 1508.52
03/30/00, 0.9098, 2.2195, 1487.92
03/31/00, 1.5991, 0.9032, 1498.58
04/03/00, 2.2985, 1.9710, 1505.97
04/04/00, 1.1751, 1.8587, 1494.73
04/05/00, 0.8813, 1.4736, 1487.37
04/06/00, 1.6618, 0.8105, 1501.34
04/07/00, 1.8832, 0.8182, 1516.35
04/10/00, 1.0245, 1.8605, 1504.46
04/11/00, 1.1133, 1.4342, 1500.59
04/12/00, 0.8903, 3.0065, 1467.17
04/13/00, 0.4232, 2.2107, 1440.51 |
