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Breadth indicators for analysis
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Breadth indicators for analysis

  #31 (permalink)
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Thanks. So create new chart with advancing issues, new chart with declining issues, then add the McClellan to the advancing and have it reference the declining.

The next step would then be to go back to my ES chart(s) and do an overlay study to pull the McClellan study from the advancing issues chart and place it on my ES chart.

Mike

Or, read the page further and see you can use just the net issues single symbol

Here is the result, on a 100k ES chart

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I love Sierra Chart.

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  #32 (permalink)
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Tiny chart for another look, panel 3

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Mike

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  #33 (permalink)
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I need to do some more homework on the McClellan, if anyone has some good research or background articles I would appreciate it.

Today for example I see a lot of divergence (price higher, oscillator lower). I went back a few days and I see the opposite.

I would like to use as a divergence tool that is not built on the price of my chart, but need a better understanding first.

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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  #34 (permalink)
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Mike, just spent the last hour or so on McClellan. The first thing I realize is that I need to ensure some type of data accuracy. The problem is that on a daily basis, there is a single data point that matters for a/d--the closing value. And when I compare the "official" numbers from McClellan Financial Publications, from 9/28 to 3/22, from their spreadsheet, I get a sum of Oscillator values of 310. When I use the barchart data from Sierra and sum the values over the same period, I get a value of about 1000. Not too bad, but a little further off from where I'd like it to be. By the way, it took me a minute to realize this because my numbers were way off, but you need 40 more bars on the chart when using mcclellan due to its using a 39 and 19 period EMA, so if you want the right oscillator value on Jan 1, chart should start Nov 1 or so.

A comparison of the oscillator values to a known source:

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These should match up in absolute value and shape, and they appear to be pretty close.

Now, the summation index. The absolute values are off due to the difference in start date from which the values are summed, but the shape is similar, though you can see some obvious differences:

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So, McClellan Oscillator takes the 19 period EMA of the A-D and subtracts the 39 period EMA of the A-D. That's it, plain and simple. There is a ratio-adjusted method which takes a ratio based on the number of NYSE stocks; this is for long term comparison because a pure A-D does not take into account the fact that the number of listed stocks changes over time, so theoretically the ratio adjusted version could be used for very long comparison, say, several decades I would guess.

The Summation Index is simply a running sum of the Oscillator values.

The idea behind advancers and decliners as a measure of breadth is that if the index is moving up, it can continue to do so with large caps doing most of the pulling. However, this cannot continue for an extended period of time, as eventually the small caps must contribute to indicate overall "health." So, a declining summation with an advancing index may indicate that a correction is coming, because the entire market is not helping as much as just the bigs.

Just as is the case with all divergence indicators, the question is, how long as you willing to go against the market while it diverges? It can diverge many times, for many months or even years. And intraday, I have not used or looked so I'm not sure. But I might be willing to look at this as a long term investor, but on a daily basis as a day trader or even a swing trader, it's just too large of a perspective. The calculation itself lags 19 and 39 days (though it is an EMA and not an SMA), so I would look at this on a daily basis as an overall health reading, and only use it if I were going to be looking to take a trade that might last several months. But intraday, I will have to give a look and see if I see any edge there.


Though the recent data as shown above is fairly similar, look how different the values are from early 2011 to present:

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Mike, perhaps you or someone could post your McClellan Summation index from January 2011 to present (as you know Mike, the study name in SC is "McClellan Sum. Index - 1 Chart")

I have no idea as to the accuracy of my intraday A-D data, and again, since these intraday values, like TICK, are dependent on data provider, I'm a little wary of putting too much trust in them. It's the same reason I'm wary of OTC forex, just too much room for one-offs and no centralized verified values. I am amazed at how many traders here, some of whom are very good, post charts with delta values and the like (like in footprint charts, cumulative delta, etc) that are just plain wrong, and yet they use the data and think it's helping them, when in fact it's more like a sugar pill used to cure a disease--effects are only in the mind So, forgive me for this long post but I want to ensure that I'm not using data that is too far from some reasonable median value.


Last edited by josh; March 22nd, 2013 at 11:25 PM.
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  #35 (permalink)
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What time frame do you want from January 2011? Daily?

Regarding intraday usefulness, since we're using looking at intraday adv/decl I would say it has the same usefulness as any other intraday analysis would based on breadth. You would of course need to use the intraday reading, not the daily reading.

I suppose one could make their own custom oscillator using a MACD or perhaps something else, to be able to lower or customize the values if you wanted.

Mike

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  #36 (permalink)
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Josh, here is 1/1/2011 to present, daily chart of SPX.XO with the McClellan in panel 2 coming from 1-day data of JINT.Z (adv/decl net issues).

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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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2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #37 (permalink)
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So the market is obviously very positive over the last 2 years, yet the McClellan is showing negative numbers. Shouldn't they be positive.... ?

Here is my source JINT.Z

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And then the SPX.XO setting I am using "Study Price Overlay":

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Mike

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

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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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  #38 (permalink)
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Big Mike View Post
Josh, here is 1/1/2011 to present, daily chart of SPX.XO with the McClellan in panel 2 coming from 1-day data of JINT.Z (adv/decl net issues).

Thank you Mike. As I suspected, my historical AD data is quite off. In January 2012, it should just shoot up dramatically as yours does, but mine stays flat. However, the more recent data seems to be quite similar, so at least that's good news. Okay, I'm going to step back from McClellan for a second and go to the source, just AD. Here is a 5 minute ES on top, A/D on bottom. Data is missing from 3/21 and I can't do anything about that but otherwise it's all there. How similar is our data?

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The most obvious divergence is today, 3/22, with A/D trending down most of the day while ES kept pushing up. I will look at some more days and time frames next.

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  #39 (permalink)
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Big Mike View Post
So the market is obviously very positive over the last 2 years, yet the McClellan is showing negative numbers. Shouldn't they be positive.... ?

This will depend on the first start date. The first value for the summation will be the first value for the oscillator, and so the first date on your chart will be close to zero, and from there it just sums, so it might have been very negative at first for example. Also, part of the deal is that declining issues could outnumber advancing yet the market still gets propped up for quite some time.

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  #40 (permalink)
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@ES#C 5-min with JINT.Z below

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Mike

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

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
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