Above we can see a chart of SPY (blue line) from 2014 to the present. The red line represents what I refer to as Institutional Participation. It is a measure of total upticks and downticks among all NYSE stocks each trading day. Going back to 2012, if we divide daily institutional participation into quartiles, we find significant relationships. Specifically, when participation is in its highest quartile, the next ten days in SPY average a gain of +1.72%. When participation has been in its lowest quartile, the next ten days in SPY have averaged a loss of -.28%. Let's think about why this might be. Suppose we measure institutional participation each minute of the trading day. To achieve a high reading, we would have to see a great deal of upticking or a great deal of downticking at that time. In other words, there would have to be broad-based buying or selling among shares--a surge of demand or supply. Such surges are most likely...