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Measuring Breadth/Momentum with Intraday New Highs and New Lows
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Measuring Breadth/Momentum with Intraday New Highs and New Lows

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Trading Apprentice
Boston, MA
 
Futures Experience: Advanced
Platform: IB, NT7
Favorite Futures: Equities
 
Posts: 10 since Jun 2012
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Measuring Breadth/Momentum with Intraday New Highs and New Lows

One robust method Dr Brett Steenbarger uses to to determine strength of trends is to examine the number of stocks making new 30 minute highs (or whatever intraday period one chooses) when the market pushes to a new intraday peak.

If after consolidation the market approaches the prior peak, traders will look for the market to either breakout or meet resistance.

Knowing if a greater or lesser number of stocks are making new short term intraday highs at subsequent peaks can help provide an edge in determining if one should look to fade or buy the break.

Does anybody have any idea how hard it would be to create a NinjaTrader script that would plot the number of stocks within an index that made new intraday highs during a given bar?

The concept is simple enough. If 20 of 500 stocks made a new intraday high in the last 30min bar, then the chart would simply plot the number 20. (And we'd want to also plot the same thing for new lows.)

While conceptually simple, and likely pretty easy script; I imagine the data needs might be an immense resource hog, especially if one wanted to track all the stocks in larger indexes. In that case one could simply skinny down things down by picking the largest 10 to 50 stocks within the index to track.

Anyone have any thoughts on this? Or maybe such an indicator already exists, and my digging for such and animal was not using the right search terms. I know there are scanners out there that do this, but they are flashing and chirping all the time and don't integrate well into charts for real-time visual comparison.

TraderFeed: One Way to Figure Out When the Trend Will End

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