Daily closing-trin extremes and next-day direction

What the closing print measures

The closing-trin is the end-of-day breadth-volume ratio restated as average volume on declining issues divided by average volume on advancing issues. It is a market-breadth measure: it tracks participation of advancing versus declining issues and the volume attached to each side, as distinct from the level of a price average.

Under that construction, a high close is a bearish-high-print, conventionally read as selling pressure outweighing buying pressure. A low close is a bullish-low-print, conventionally read as buying pressure outweighing selling pressure.

What the historical review treated as directional

A historical review of 435 trading days tabulated the next-session-check, meaning whether a major industrial average advanced or declined on the day after the closing print, across various closing levels of the index.

In that review, closes at or below 0.4 were the only low band treated as bullish. Closes above 0.4 were described as noncommittal. High-side next-day weakness was associated with closes above 2.4, and a bearish reading was described as requiring about 2.3 or higher.

Those bands are the extreme-tails: a close near or below 0.4, or near or above 2.3. They were the only bands the historical review treated as directional.

How often the extreme-tails appeared

Only four of the 435 days closed at or below 0.4. After those sub-0.4 closes, the industrial average advanced on 75 percent of the following days in the sample. Only three of the 435 days closed above 2.4.

The stated conclusion is that the simple daily close was treated as informative for next-day direction only at those rare high and low extremes.