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Breadth indicators for analysis
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Breadth indicators for analysis

  #1 (permalink)
Site Administrator
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Breadth indicators for analysis

Here is a list of IQFeed breadth symbols (from the Sierra Chart interface):

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Also below I will repost their descriptions from IQFeed's website:

Source: DTN - INDEXES AND INDICATORS DEFINITIONS

 
Code
NAME         DESCRIPTION                                     SYMBOL
                                                             DTN IQ  Satellite
                                                                     (same
                                                                     unless
                                                                     shown)

NYSE
+Volume      NYSE +Volume and -Volume indicates the number   VINA.Z
-Volume      of shares that have traded up or down in price  VIND.Z
Total        from the previous day's close.  The Total       VINT.Z
Unchanged    represents the total number of shares traded    VINU.Z
             that day on the NYSE.

NYSE         NYSE advances are the number of issues that
Advances     traded higher in price from the close. Declines IINA.Z
Declines     are the number of issues that traded lower in   IIND.Z
Total        price from the close.                           IINT.Z
Unchanged                                                    IINU.Z

NYSE Tick    The NYSE tick is the number of stocks whose     TINA.Z
             current price is higher than the previous trade TIND.Z
             (uptick) minus the number whose current price   TINT.Z
             is lower than he previous trade (downtick).     TICK.Z

INDU Tick    The INDU Tick represents the number of the      TIKI.Z
             Dow 30 Industrials that have traded lower in
             PRICE from the previous trade subtracted
             from the number of 30 Industrials that traded
             higher in price from the previous trade.
             The INDU Tick will range from +30 to -30.

NYSE TRIN    The NYSE Trin is a measure of stock market      TRIN.Z
             strength that divides the advance/decline
             ratio by the advance volume/decline volume
             ratio.  Trin greater than 1.0 indicates
             volume is concentrated in declining issues.
             Trin below 1.0 indicates volume is
             concentrated in advancing issues.

S&P PREM     The S&P 500 premium represents the cash         PRSP.Z  SP-PREM.Z
             price of the S&P 500 Index subtracted from
             the price of the nearby S&P futures contract.

S&P PREM     The Standard & Poors 500 premium combined       PRSC.Z  SP-PRM2.Z
Combined     represents the cash price of the S&P 500 Index
             subtracted from the price of the nearby
             combined S&P futures contract.

MINI DOW     The Mini Dow premium represents the cash        PRYM.Z  YM-PREM.Z
PREM         price of the Dow Jones Industrial Average
             subtracted from the price of the nearby mini-
             sized Dow futures.

MINI RUSSELL The Mini Russell 2000 premium represents        PRRM.Z  RM-PREM.Z
2000 PREM    the cash price of the Russell 2000 Index
             subtracted from the price of the nearby
             Mini-Russell 2000 futures.

MINI NASDAQ  The Mini NASDAQ 100 premium represents          PRNQ.Z  NQ-PREM.Z
100 PREM     the cash price of the NASDAQ 100 index
             subtracted from the price of the nearby
             E-mini NASDAQ 100 futures.

MINI S&P     500 The Mini S&P 500 premium represents the     PREM.Z  EM-PREM.Z
PREM         cash price of the S&P 500 index subtracted
             from the price of the nearby E-mini S&P 500
             futures.

DOW JONES    The Dow Jones Industrials premium               PRDJ.Z  DJ-PREM.Z
PREM         represents the cash price of the Dow Jones
             index subtracted from the price of the nearby
             Dow Jones Industrials futures.

GOLDMAN      The Goldman Sachs premium represents           PGRI.Z   GI-PREM.Z
SACHS PREM   the cash price of the GSCI subtracted from
             the price of the nearby GSCI futures.

S&P 400      The S&P 400 MidCap premium represents          PRMD.Z   MD-PREM.Z
MIDCAP PREM  the cash price of the S&P MidCap index
             subtracted from the price of the nearby
             S&P 400 MidCap futures.

NASDAQ 100   The NASDAQ 100 premium represents the          PRND.Z   ND-PREM.Z
PREM         cash price of the NASDAQ 100 index
             subtracted from the price of the nearby
             NASDAQ 100 futures.

RUSSELL 2000 The Russell 2000 premium represents            PRRL.Z   RL-PREM.Z
PREM         the cash price of the Russell 2000 index
             subtracted from the price of the nearby
             Russell 2000 futures.

AMEX VOLUME  The AMEX volume represents the total
AMEX ADV     number of shares traded that day on             VCAA.Z
AMEX DEC     AMEX.  The advances and declines                VCAD.Z
AMEX TOT     represent the number of AMEX issues             VCAT.Z
AMEX UNCH    that traded up or down in price from            VCAU.Z
             the previous day's close.

NASDAQ       NASDAQ + Volume and - Volume
+ VOLUME     indicates the number of shares                  VI5A.Z
- VOLUME     that have traded up or down in price            VI5D.Z
UNCHANGED    from the previous day's close. The              VI5U.Z
TOTAL        total represents the total number of            VI5T.Z
             shares traded that day on NASDAQ.

NASDAQ       NASDAQ advances are the number
ADVANCES     of issues that are trading higher in price      II5A.Z
DECLINES     from the previous day's close.                  II5D.Z
UNCHANGED    Declines are the number of issues               II5U.Z
TOTAL        that are trading lower in price from            II5T.Z
             the previous day's close.

NASD TRIN    NASDAQ Trin divides the NASDAQ                  RIQT.Z
             advance/decline ratio by the
             NASDAQ advancing volume/
             declining volume ratio.

CBOE         The CBOE put/call ratio measures                PCRATIO.Z
PC RATIO     the number of puts traded on the
             CBOE (both equity and option)
             divided by the number of calls
             traded on the CBOE.
Mike

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  #2 (permalink)
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  #3 (permalink)
Site Administrator
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Now to my question...

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.

I also use the SPX.XO as one of my primary charts to plot the cash movement, especially for longer term moves without the hassle of contract rollovers.

For those guys using VIX, can you post some examples of how you are incorporating it?

I know the Suri Duddella uses a combination of tick, premium and something else (can't recall) and rolls it into a single oscillator to help him time entries. Anyone else doing this?

Mike

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Need help?
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  #4 (permalink)
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Here is a tiny 25k volume chart of the ES showing RSI (panel 2) and the S&P net issues (JI6T.Z - panel 3).

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Here is how I did it in Sierra Chart:

- New chart (#18) for JI6T.Z, set to 1-second
- Add "Study/Price Overlay" indicator to chart #11 (25k vol chart), selecting chart #18 as source, set to hidden
- Add Moving Average Hull to chart #11, set source as the JI6T.Z overlay from step 2, set to plot in panel 3 as gradient

(Thanks to @tomgilb for helping me)

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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)
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  #5 (permalink)
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@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

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)
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  #6 (permalink)
Site Administrator
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Also @Robert Carrillo, for the crude traders -- I thought you guys used to have a Crude equivalent for "tick"?

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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  #7 (permalink)
Site Administrator
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Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,233 received

I asked Suri, he clarified that he uses:

$ADV, $DECL, $TICK (NYSE), $TRIN, $ESINX (PREM), SPY and XLF as a combination for his oscillator to time entries. Those are Tradestation symbols not IQFeed.

I imagine there is no need to plot the ADV and DECL using separate symbols but just use the single net issues ticker of JI6T.Z from IQFeed. Maybe someone using Tradestation can clarify if $ADV and $DECL are SP500 or Dow.

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
to support our community, become an Elite Member.

Reply With Quote
 
  #8 (permalink)
stonecutter
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VIX usage

Hi Mike,

I've been messing around with breadth for a month or two trying to incorporate it as well..
The only one i'm using so far is VIX....i'm using a 10000V ES chart and i like to keep a seperate
chart with the VIX on it, with a TSI indicator. As an inverse indicator, if my indi line is greater
than the zero line then i'm short minded and conversely, below, or weakening indi, i'm biased long.


i uploaded these as seperate charts but i'm actually using the VIX chart like a third indi on my ES chart
so bear that in mind.....actually the image below looks about right as a whole.

i keep the bars of the VIX squished up for simplicity...hell, i cant read one set of bars worth a crap,
much less two

-Mike

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  #9 (permalink)
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I have never been one to use VIX. But my general understanding is simply -- more VIX = more volatility. More volatility means more fear, which means withdrawing money from equities and seeking safer places (ie: treasury).

So I am not sure I follow the logic of shorting when VIX is falling.

Edit: just realized I read your screenshot wrong, you are shorting on rising VIX which makes more sense to me

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
to support our community, become an Elite Member.

Reply With Quote
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  #10 (permalink)
stonecutter
Hot Springs, Arkansas
 
Futures Experience: Beginner
Platform: ninja
Broker/Data: optimus
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Posts: 30 since Feb 2012
Thanks: 234 given, 40 received


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.

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