Does The Market Trend on an Intraday Basis?

I'm getting quite a few positive comments on my recent Trading Markets article that documents the decline in trending behavior in the S&P 500 Index over the past 40 years. What has been eye-opening, however, is that this loss of trendiness has occurred across all time frames that I've investigated thus far.

Here's an example. I took hourly readings of SPY since December 13, 2005 (N = 478). I once again looked for all occasions in which a rise was followed by a rise and a decline by a decline. If the odds of a rise or decline are 50/50, we should see half of all occasions by chance result in either two consecutive rises or two consecutive declines.

In fact, we see 225 occasions where either a rise was followed by a rise or a decline followed by a decline and 253 occasions where rises were followed by declines or declines by rises. During March alone (N = 64), we've seen 28 occasions where rises were followed by rises or declines by declines and 36 occasions where there was no continuation of a move.

Once again, we not only see an absence of trending--failure of rises to be followed by rises and declines by declines--but actually evidence of antipersistence. On average, rises are being followed by declines and vice versa. This is wreaking havoc with momentum traders in the ES and SPY markets.

Next I'll look at other indices and sectors and see where there might be opportunity for trend and momentum traders.