Well, you're in luck because I'm going to give you just THAT.
In one of my earlier posts, I gave you the equation for my Share Strength Indicator (SSI), a measure of how much a single share could move the stock price.
Here, I stated how a high share strength was an indicator that a stock was susceptible to manipulation or uncharacteristically large moves. To test this, lets look at a strategy of shorting stocks that are UP on HIGH share strength. We will short a stock with:
1. A stock price being 10% or more above its 20 DMA price.
2. A high share strength defined as 20 DMA share strength being greater than 2 standard deviations above the past year's average 20 DMA share strength.
And for the results....
Here we wait 20 days till we cover our short position, and for the results over the past 4 years...
Market Price Change Stocks Meeting Criteria
NYSE 93% (-7%) 1980
Nasdaq 94% (-6%) 1272
AMEX 82% (-18%) 30
Scatter plot of returns for NYSE shorted stocks.