I noticed on Friday that we had an explosion of stocks making new 20-day lows across the NYSE, NASDAQ, and ASE. New 20-day lows hit 4129, a level we've seen only 11 times since late 2002.
Interestingly, when we've had more than 4000 new 20-day lows, there has not been an intermediate-term bullish bias. Indeed, 30 days later, the S&P 500 Index (SPY) has been up 5 times and down 6, for an average loss of 3.0%.
A more interesting observation, however, is that--of the 11 occurrences of 4000 or more 20-day lows--all but one (5/10/04) has occurred since the second half of 2007. During the bull market, pullbacks led to an excess of new 20-day lows, but not such broad weakness. When markets have been broadly weak, it's been an indication of bearish trend conditions and we haven't seen a bullish edge going forward.
An interesting topic for research is whether extremely weak or strong markets differ qualitatively from normally weak or strong ones. It may well be that rising or falling tides that lift or drop all boats show greater odds of continuation, whereas less broad moves are more likely to encounter reversal.
Note: I post new 20-day highs and lows each morning before the market open via Twitter (free subscription via RSS).