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Bill L.
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Methodology: setups require certain criteria to be met before trades can be executed, which include weighted statistical studies on several indicators of price, breadth, volume, and sentiment . Amount of risk taken is proportional to how many indicators are aligned. I mainly trade market... More
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  • Tuesday, February 12, 2013 - Block Trade Update 0 comments
    Feb 12, 2013 4:15 PM | about stocks: SPY, QQQ, DIA, IWM, XLF

    A while back I wrote I had become interested in block trading data after reading an interview with Phil Roth. I started collecting block trading records in hopes of turning it into some sort of an indicator once I had enough historical data. I've received some requests for updates on the block trading indicator. I'm happy to oblige, however there is one unfortunate caveat. I had collected this data for over a year and was planning on testing it for possible signals. Unfortunately, my previous work computer had a hard drive failure, and this particular file was not set to automatically save on my back up drive. Anyway, I've started collecting it again and I'll posting it as it becomes available (it is updated once a week).

    I believe Phil Roth keeps several MA crossovers so that's what I've decided to do here (as well as a cumulative chart).

    Raw Numbers as Reported by Barons:

    (click to enlarge)

    For the moving average charts, I'm taken block trades on up ticks, and subtracted block trades on down ticks, then created a 5 and 10 day moving average. The presumption here is that by studying these figures we will get a sense of the direction of institutional money flow. This in turn could be used as confirmation of the trend or possibly as a short/medium term trade signal by riding their coattails (when we see a crossover perhaps?).

    NYSE Block Trade 5,10 MA

    (click to enlarge)

    Notes: What's interesting to me here is that we've had a negative crossover and that the 10 DMA is pointing down. The 5 DMA appears that it might be turning back up, but the overall message here is that institutional flow isn't particularly strong here despite the multi-year highs and the 14k celebrations.

    NASDAQ Block Trade 5,10 MA

    (click to enlarge)

    Notes: The NASDAQ hasn't been as strong as the other indexes, and block trading in the NASDAQ exchanges looks even weaker than the NYSE's. Here there is a negative crossover as well, but with both MAs pointing down.

    NYSE Cumulative Block Trades

    (click to enlarge)

    Notes: Here I'm simply calculated a running total of every day's result. I'm not sure what to do with this at the moment. It may become an oscilator, or it may become a trend confirmation indicator. We'll see, but I thought I would include it since it was so easy to calculate. At the moment it's pointing down and it is below the zero line (with so limited history it's hard to say that either is important), which is interesting considering the strength of the market the last several weeks when this data was collected.

    NASDAQ Cumulative Block Trades

    (click to enlarge)

    Notes: The NASDAQ cumulative chart looks choopy and sideways, but is also currently below zero and pointing lower. Hopefully after a few more ups and downs, we'll start to see reoccuring behaviours in these series that will allow us to better predict the market over the medium term.

    -Bill L.

    Disclosure: I have no positions in any stocks mentioned, but may initiate a short position in SPY over the next 72 hours.

    Stocks: SPY, QQQ, DIA, IWM, XLF
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