daytrend

C-Market Stats Explained

Market Stats are posted on this blog and are tweeted on twitter throughout the trading day and at the close whenever time permits.  I began tweeting them informally in 4/2009, and wrote a program to expand and automate them on 6/20/2009. 

On 3/5/2011, I cleaned house and removed most old Market Stats posts remaining on the blog at the time.  However, here is an Excel file containing the stats from all Market Stats posts as of 3/4/2011.  MarketStats 20110305.xls

The Market Stats posts are widely read and appear to be self-explanatory, except for the topics addressed below.

By far the most frequent question is “What are liquid stocks?”  See Liquid Stocks Explained.

I added an important capability on 7/10/2010:   SECTOR AVERAGES AND TOP & BOTTOM 8 STOCKS.  Scroll to the bottom to find it.

Each of the sectors represented in “liquid stocks” is on one line.  From left to right, the fields are…

  • Short name of the sector, for example “BANK” for the “Banking” sector.
  • In parentheses, the number of liquid stocks from that sector that are used to calculate Market Stats at the time.  This varies, but is usually constant through the day.
  • The unweighted average of the percentage gain since the prior day’s close for all the liquid stocks in the sector.  Note the the sectors are sorted by this value. Stocks are assigned to a sector by my data provider, and you or any considered group of traders may consider them materially incorrect.  I can’t help that, and assume no responsibility for assignment of stocks to a sector.
  • The top and bottom 5 stocks in the sector in terms of percentage gain as of the time given at the top of the post.  A stock can be in the top 5% of stocks in that sector and still be down for the day.  Use another source for all price or stock-specific price change information.
  • Sector name in parentheses.

The purpose of including sector and winner & losers information is for a blog reader to get a quick overview of the market.  It cannot substitute for highly available, real time sites, or those with more complete data.  If you’re looking for more than an overview at a glance, you should consider StockTwits or other services.  Also, always be aware that Market Stats data from this or any site will always be delayed.

3 Comments »

  1. Thanks very much for your stats and your comments on stocktwits, that I find to be direct and honest.
    I noticed another member attitrade had some interesting technical indicator that was used to buy/sell.
    Specicifically, RSI(2) (if 90% of SPX components trading w/RSI(2) < 30, then bounce likely etc). I noticed you have RSI(2) readings, but am unable to understand them. Is there some way I can use the data you provide in this case? thanks in advance, Gowri

    Comment by gowri rajan — 06/25/2011 @ 8:43 am

    • My RSI(2) reading are similar to what @attitrade uses, except mine cover “liquid” stocks and his (as I understand them) cover all the stocks in the S&P 500.

      Example from mine: 2-day: >=95:1.7%…>=90:4.2%…>=80:7.5%…>=50:22.3%…<=20:39.9%…<=10:13.9%…= 95, etc. Hope this helps.

      Comment by daytrend — 06/27/2011 @ 7:24 am

  2. [...] Market Stats on this blog measure the percentage of liquid stocks meeting certain defined conditions, and I have published them several times a day since 2009.  The historical data has been collected in a .xls file which can be opened by Excel.  The data is sparse; it is collected manually throughout the day, but always at the close. For those interested, you can download the file StatsList. [...]

    Pingback by Market Stats Historical Data in Excel « daytrend — 10/22/2012 @ 7:33 am


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