SPY volume came in at the lowest level in over a month on Monday. Very low SPY volume when the market is at or near highs is often a bearish sign. A few studies related to this appeared in the Quantifinder this evening. I decided to examine the combination of a 20-day low in volume combined with a 50-day high in price.

Over the next 2 to 3 days there appears to be a solid downside edge based on the numbers. While I expected this to be the case, I was somewhat surprised to see that the edge persisted well beyond that. While I frequently show profit curves in the Subscriber Letter, I rarely do so on the blog. Today I decided to show it. So here it is using a 2-day holding period.

The consistently down sloping curve appears as impressive as the numbers.