RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis
Breadth overview
Still fluctuating a lot. I could slow down the fluctuations by adding some hysteresis. However, I have a concern that my overview may be quite ad-hoc as it is, and unless I have testing in place tweaking it might not actually be useful. It would also likely slow down the response which may hinder rather than help.
RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis
Divergence between S&P500 and Russell 3000 A/D line?
Is anyone else noticing a divergence between A/D and the S&P500. Note, my Russell 3000 constituents are out of date as I've not checked them in a long time, and I use them as a proxy for the NYSE since I lost easily obtained NYSE A/D data. With that caveat out the way I'm seeing a divergence, the S&P500 is making new highs but the A/D line is not:
The whole breadth chart is below:
For the whole chart key points seem to be:
* The % stocks about their 50 day EMA has been in a long decline and is now below 50%.
* The % above their 200 day EMA is above 70% may be on a slow decline.
RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis
(2021-07-11, 11:27 AM)pcabc Wrote: Divergence between S&P500 and Russell 3000 A/D line?
Is anyone else noticing a divergence between A/D and the S&P500. Note, my Russell 3000 constituents are out of date as I've not checked them in a long time, and I use them as a proxy for the NYSE since I lost easily obtained NYSE A/D data. With that caveat out the way I'm seeing a divergence, the S&P500 is making new highs but the A/D line is not:
The whole breadth chart is below:
For the whole chart key points seem to be:
* The % stocks about their 50 day EMA has been in a long decline and is now below 50%.
* The % above their 200 day EMA is above 70% may be on a slow decline.
OK, a follow-up, this is my data / calcs versus others. I've found two sites that have these charts and the NYSE has not diverged:
This looked somnewhat negative during the week but seems to have got stronger at the weekend.
Major indices
US Sectors
UK Sectors
Commodities
Miscellaneous
I am reading your analysis every week, but i am wondering how you calculate / determine your signals (buy, alert, ...)?
This is fairly complex and they are only an indication to myself whether it might be OK to buy, hold or should consider selling. I decided to share this. Don't consider it any more than something some random person on the internet has produced. It is farily ad hoc, but the components make some sense.
I lost a good feed for breadth data a while back, but I have a data feed for end of day data. From this feed I group stocks into areas, e.g. Russell 3000, UK sectors etc based on publically available free data sources. However, since this is manual it is somewhat infrequently updated.
I store the data in a database and overnight, for each group of stocks I take breadth measurements for I have a script run and calculate the number of new highs, new lows, advancing / declining positions etc. This then goes back into the database. This data is then used to calculate the more familiar indicators, the Advance / Decline Line, New Highs minus New Lows etc.
I have four time periods, very short term, short term, medium term and long term. I then compare these breadth indicators against their moving averages, whether they are above or below key levels etc. So a bullish indication is +1 and a bearish one is -1. I consider which time period each indication is within. So, using price as an example, the MACD histogram being above the zero line, meansing the MACD line is above its signal line, is a short term +1 score, below is -1. The MACD histrogram being in an upward slope is a much more rapid indicator so it is a very short term score. Anything based on an MA or 100 say, or price being above its 50 day SMA is a medium term score. Anything relating to the 150 and 200 day SMAs is a long term score item. But I apply this to the A/D line, New Highs minus New Lows, % stocks above their EMAs etc.
What this gives me is something akin to Weinsteins weight of evidence, but in four time periods. I did this as my database does no easily give me weekly charts so I get differing time periods for breadth in my consideration.
My overal scores are fairly ad-hoc, but obviously, if scores in all time periods are bullish then the overall result is bullish or 'buy'. I note that I am looking more at whether overal breadth scores are increasing in the medium and long term scoing contributions as a strenghtening in market breadth is what I am looking at. The short and very short scoring periods have this built in.
A word of warning. My performance has best been described as patchy at best. Several things seem to be causing this. At one point I was only buying when breadth (not split into these time periods) was strongest leading to me only buying at tops, which does not work, the markets turned and i was left with losers. Further I think my costs were too high grinding accounts down and some accounts just had too much lag or lacked useful order types. So I am doing this as learning and I am still learning.
I'm finding the scheme I have come up with keeps me from buying most of the time. Which generally seems to be a good thing. I'm only buying now when may be a lot of market strength, in all timescales (when I behave and follow my own breadth indicator). Sometimes this works, but the market can still drop back, so it is not fool proof.
So overall this is somewhat ad-hoc, but hopefully built on sensible foundations. If you are interested and have suitable data source that suit your own way of working then I'd suggest that you re-read the breadth chapter in Weinstein's book and have a play around and see if you can get a useful indication yourself.
This looked somnewhat negative during the week but seems to have got stronger at the weekend.
Major indices
US Sectors
UK Sectors
Commodities
Miscellaneous
I am reading your analysis every week, but i am wondering how you calculate / determine your signals (buy, alert, ...)?
This is fairly complex and they are only an indication to myself whether it might be OK to buy, hold or should consider selling. I decided to share this. Don't consider it any more than something some random person on the internet has produced. It is farily ad hoc, but the components make some sense.
I lost a good feed for breadth data a while back, but I have a data feed for end of day data. From this feed I group stocks into areas, e.g. Russell 3000, UK sectors etc based on publically available free data sources. However, since this is manual it is somewhat infrequently updated.
I store the data in a database and overnight, for each group of stocks I take breadth measurements for I have a script run and calculate the number of new highs, new lows, advancing / declining positions etc. This then goes back into the database. This data is then used to calculate the more familiar indicators, the Advance / Decline Line, New Highs minus New Lows etc.
I have four time periods, very short term, short term, medium term and long term. I then compare these breadth indicators against their moving averages, whether they are above or below key levels etc. So a bullish indication is +1 and a bearish one is -1. I consider which time period each indication is within. So, using price as an example, the MACD histogram being above the zero line, meansing the MACD line is above its signal line, is a short term +1 score, below is -1. The MACD histrogram being in an upward slope is a much more rapid indicator so it is a very short term score. Anything based on an MA or 100 say, or price being above its 50 day SMA is a medium term score. Anything relating to the 150 and 200 day SMAs is a long term score item. But I apply this to the A/D line, New Highs minus New Lows, % stocks above their EMAs etc.
What this gives me is something akin to Weinsteins weight of evidence, but in four time periods. I did this as my database does no easily give me weekly charts so I get differing time periods for breadth in my consideration.
My overal scores are fairly ad-hoc, but obviously, if scores in all time periods are bullish then the overall result is bullish or 'buy'. I note that I am looking more at whether overal breadth scores are increasing in the medium and long term scoing contributions as a strenghtening in market breadth is what I am looking at. The short and very short scoring periods have this built in.
A word of warning. My performance has best been described as patchy at best. Several things seem to be causing this. At one point I was only buying when breadth (not split into these time periods) was strongest leading to me only buying at tops, which does not work, the markets turned and i was left with losers. Further I think my costs were too high grinding accounts down and some accounts just had too much lag or lacked useful order types. So I am doing this as learning and I am still learning.
I'm finding the scheme I have come up with keeps me from buying most of the time. Which generally seems to be a good thing. I'm only buying now when may be a lot of market strength, in all timescales (when I behave and follow my own breadth indicator). Sometimes this works, but the market can still drop back, so it is not fool proof.
So overall this is somewhat ad-hoc, but hopefully built on sensible foundations. If you are interested and have suitable data source that suit your own way of working then I'd suggest that you re-read the breadth chapter in Weinstein's book and have a play around and see if you can get a useful indication yourself.
Wow, i really appreciate your answer. I am very thankful for your insights.
And of course: learning will never stop. But i think this is the point what makes trading unique. Best wishes to you!
RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis
(2021-07-12, 09:59 AM)fabi470 Wrote: Wow, i really appreciate your answer. I am very thankful for your insights.
And of course: learning will never stop. But i think this is the point what makes trading unique. Best wishes to you!
No problem. I just don't want to you think I have some magic process, or that by myself posting that implies that I'm wildly successful with some sure fire method. I need to run my breadth charts for a time longer to see if my successes / or lack thereof, are as the result of my breadth charts, luck or correct or incorrect application of them.
