Wednesday, December 16, 2009

Tracking a Basket of Stocks for Volume Weighted Average Price

Here are the 40 stocks I track in my basket of stocks: five highly weighted issues across the Materials, Industrial, Consumer Discretionary, Consumer Staples, Energy, Health Care, Financial, and Technology sectors.

Price change is measured from each stock's opening price to see if we're showing strength or weakness during the day session.

Note that I've added a column at right: the volume-weighted average price for each stock. That takes the price at each transaction weighted by the volume at that transaction, divided by total volume. If stocks are trading in an uptrend, we should see many issues above their VWAPs; if stocks are in a downtrend, we should see many issues below their VWAPs. In a range market, we'll see stocks near their VWAPs, trading on either side.

When I took this snapshot, only 6 of the stocks were trading above their VWAPs, a nice tell for underlying market weakness.