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Breadth indicators for analysis
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Breadth indicators for analysis

  #11 (permalink)
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Which breadth indicators are you guys using?

For guys trading the SP500, it makes since (to me) to be using the S&P tick or or net issues (JT6T.Z and JI6T.Z respectively) as opposed to using the traditional NYSE TICK (TICK.Z) version.

Great thread Mike.

The NYSE TICK is the only breadth indicator I use. I have heard the argument for using the S&P TICK if you're trading the S&P, but I have tried it before and am not comfortable with the way it moves. The fact is that all equities are correlated, and a rising tide lifts all ships. There is a nice general correlation between a strong move in the S&P and the NYSE TICK. You just don't get really strong moves in a 500 stock index without pulling the little ones along, so I find it to be very representative of the overall sentiment of equities in general and the S&P 500. The 500 stocks in the S&P could all move up together and the ones not in it move down, and you would get overall negative TICK, but in practice it just doesn't happen that way, and the way the small caps are doing is often a very good tell of how much of a chance the big ones have. If the small caps aren't playing, don't expect the SPX to be able to push very far for very long. I guess my point is, none of the major indexes are islands--they will pull each other along, so having a dedicated S&P TICK index is really does not work as well as logic would suggest. That's just my opinion, and I'm sure others will disagree 100%, but it's just one perspective.

For A/D, Uvol/Dvol, etc., I have used them, but it becomes too much input, and I find an uptick/downtick measure (along with delta) a much better indicator of sentiment than how many stocks are trading above or below their closing price. I think it's hearing incorrect usage of it that makes me dislike it, but that's not the indicator's fault. For example, the market opens substantially lower, and I read silly comments equating the negative A/D with negative sentiment, but that simply is not the case. I think it could be used better to find divergences, i.e., S&P makes a new high but A/D does not, etc. I am willing at some point in the future to give A/D another try; it's just that now is not the best time. I would love to hear from those who use A/D make a good case for it, as I would love to incorporate it if I find some edge in using it beyond what TICK and delta show me in terms of overall sentiment.

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  #12 (permalink)
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catdriver View Post
the worst part about that is there's not much more room
to go low...we're near historic lows now with Bernanke
the vix smasher on duty.

But plenty of room for higher VIX. We've moved to record highs just fine at current levels but what happens once more uncertainty enters...

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  #13 (permalink)
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Exactly...need to jump to ~25 - 30 on the Vix and get the Spoos back down
to the 1350 - 1380 level. Makes my Market Profile easier...just think of all
those H and LVN's going to waste down there.

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  #14 (permalink)
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josh View Post
Great thread Mike.

The NYSE TICK is the only breadth indicator I use. I have heard the argument for using the S&P TICK if you're trading the S&P, but I have tried it before and am not comfortable with the way it moves. The fact is that all equities are correlated, and a rising tide lifts all ships. There is a nice general correlation between a strong move in the S&P and the NYSE TICK. You just don't get really strong moves in a 500 stock index without pulling the little ones along, so I find it to be very representative of the overall sentiment of equities in general and the S&P 500. The 500 stocks in the S&P could all move up together and the ones not in it move down, and you would get overall negative TICK, but in practice it just doesn't happen that way, and the way the small caps are doing is often a very good tell of how much of a chance the big ones have. If the small caps aren't playing, don't expect the SPX to be able to push very far for very long. I guess my point is, none of the major indexes are islands--they will pull each other along, so having a dedicated S&P TICK index is really does not work as well as logic would suggest. That's just my opinion, and I'm sure others will disagree 100%, but it's just one perspective.

For A/D, Uvol/Dvol, etc., I have used them, but it becomes too much input, and I find an uptick/downtick measure (along with delta) a much better indicator of sentiment than how many stocks are trading above or below their closing price. I think it's hearing incorrect usage of it that makes me dislike it, but that's not the indicator's fault. For example, the market opens substantially lower, and I read silly comments equating the negative A/D with negative sentiment, but that simply is not the case. I think it could be used better to find divergences, i.e., S&P makes a new high but A/D does not, etc. I am willing at some point in the future to give A/D another try; it's just that now is not the best time. I would love to hear from those who use A/D make a good case for it, as I would love to incorporate it if I find some edge in using it beyond what TICK and delta show me in terms of overall sentiment.

Josh I completely agree on simpler is better. That is why I really haven't paid much attention to breadth in years, because I didn't want another line on my chart.

I am more inclined to take Suri's approach of consolidating into a single custom indicator plot. The nice thing about breadth is that it is not directly linked to price on your chart, unlike 99% of indicators, so it does give you some perspective not otherwise available.

I'm trying to figure out how to combine a few breadth tools together in Sierra Chart and get the multipliers right. If you have suggestions let me know.

I agree on looking for divergence, that is pretty much all I am interested in.

Mike

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  #15 (permalink)
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Here are some sample charts of various breadth.

All breadth is in panel 3 (green) and the line has been smoothed in all cases using a 7 Hull MA.

Panel 2 is my standard RSI. I am leaving it just so it can be used to compare divergence setup with panel 3.

JI6T.Z #1

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JI6T.Z #2

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GI-PREM #1

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JINT.Z #1

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JINT.Z #2

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JTNT.Z #1

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JTNT.Z #2

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SP-PREM.Z #1

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SP-PREM.Z #2

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TICK.Z #1

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TICK.Z #2

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You can see some of them would require different plot settings to see more clearly but I didn't want to mess with that tonight.

I also normally would not use a chart this small but I thought it might be more useful to compare breadth intraday. I will also be looking at it on my bigger charts, like 100k and 500k vol.

Mike

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  #16 (permalink)
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Here is VIX.XO (CBOE). A few anomalous readings are really impacting the ability to read the panel. You would need to increase smoothing or setup a % filter to remove 'bad' prints perhaps?

Chart 1, useless due to scaling issues because of the 14:20-14:30 prints

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Chart 2, more useful

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Mike

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  #17 (permalink)
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Big Mike View Post
Maybe someone using Tradestation can clarify if $ADV and $DECL are SP500 or Dow.

Using TradeStation, $ADV is "NYSE Advancing Issues" and $DECL is "NYSE Declining Issues"

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  #18 (permalink)
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Is anyone hear using the McClellan Oscillator? I am trying to figure out the correct input for it and would like to compare against known-good values.

Sierra says the input should be declining issues, but shouldn't that be net issues? Why would it look only at declining?

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #19 (permalink)
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Big Mike View Post
Is anyone hear using the McClellan Oscillator? I am trying to figure out the correct input for it and would like to compare against known-good values.

Sierra says the input should be declining issues, but shouldn't that be net issues? Why would it look only at declining?

Mike

Maybe this will clarify-- Technical Studies Reference - Sierra Chart

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  #20 (permalink)
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Big Mike View Post
@Robert Carrillo, can you clarify what "Satellite" vs "DTN Symbol" means? Is it just an alias, or is there an actual difference in data?

Mike

Hi Mike,

It's the same data, but sometimes a different symbol to display in the legacy satellite dish/receiver box service. There are still many customers, primarily ag related, without internet access.

Robert

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