For every available stock, SpotGamma has constructed a Dark Pool Indicator (DPI) which measures buying and selling activity in dark pools.

When the DPI is >45% it indicates strong buying or accumulation of a stock.

In contrast, a DPI <30% indicates large funds are selling their shares.

In the table below we’ve aggregated data for all individual stocks in the S&P500, going back to January of 2018.

Under the column “All Days” you can see the average 5 & 20 day return for all stocks, regardless of DPI. Following that we broke down the forward 5, 20 and 60 day returns for various DPI readings.

We only select those time periods in which the average for the last 5 days (row 1) or 10 days (row 2) was greater than the column group header.

For example, the data under the “DPI>45 column” and first row “5 day average DPI” shows the forward 5, 20 and 60 day returns following periods in which the 5 day average DPI was >45%.

What you can see is that when the average DPI is >45% stocks have a positive return over 5, 20 and 60 day time frames.

However, when the DPI is <30% stocks have a negative return over the next 20 and 60 day period.

If you look for “extreme” buying with a DPI>60%, it doubles across all time periods.