ABSTRACT
We outline several volume based technical indicators. The indicators are constructed using deciles of their previous months values and are tradable in real time using data from the Center for Research in Security Prices (CRSP). We test VPCI along with two new volume indicators VPMI and VPMCI and show that they outperform a buy and hold on all U.S. stocks with annualized returns of 38.68% and risk of 56.21% compared to the buy and hold return of 13.98% and risk of 66.33% when combining factors from all three models. We also test Accumulated Capital Weighted Volume and Dollar Volume and test a strategy using the 250 day exponential moving average, and 52 week simple moving average. We find annualized return of 10.05% and risk of 12.55%, and 9.58% and risk of 15.80% on both CRSP and the S&P 500 respectively. This is compared with a buy and hold of 9.44% return and 18.77% risk, and 10.18% return and 22.93% risk on their benchmarks. The returns are validated using the asset pricing tests of Kolmogorov Smirnov tests, CAPM and Fama and French 3 factor model and 5 factor model for growth and profitability.
Keywords
Finance, Volume, Wealth Management, Risk Overlay, Capital Weight