(2020-04-09, 11:30 AM)pcabc Wrote: Strengthening breadth

Usual caveats apply, my calculations, so there may be errors.

I calculate breadth based on stocks held in my database and I do this for various sectors and indices.  I then produce a table as an overview which gives me a summary score of breadth based on how various breadth parameters are behaving.  For example, whether the advance / decline line is above its moving averages.  I do this on a number of time periods.  For the last few weeks the overall score has been pretty dire.  However, over the last two days things have become more positive.  Of course with the rally of the past week that can be expected and that does mean we might be in a bull trap.  I thought I'd share.

Breadth overall scores from yesterday's data:



Breadth overall scores a week previous:


The NASDAQ100 was one of the earlier movers.  'Buy' is just an indication to myself.  A guide not a command.  So that does not mean 'buy' to you, it is just an indication that breadth seems stronger.  My scorings are based on very short, short, medium and long term indications against the various breadth curves and the overal score is a consensus score I came up with.  These are based on breadth improving to some extent more than abosolute values.  'Buy' means than in general breadth is improving in all time frames.  The detail is rather complex and a little ad-hoc.  But the main takeaway is that breadth this week has improved.

The NASDAQ100 was the earliest mover.

(2020-04-12, 12:16 PM)RUTrading Wrote: Hi pcabc, Thanks for sharing this, looks very interesting your market gauge. Have you tested what happens during 2008 and did your gauges warn you to get out before this drop this year? 

I have been busy creating one for the South African market (JSE) but still not completey done.

(2020-04-12, 05:24 PM)RUTrading Wrote: Pcabc, thanks for sharing the 2008 charts, looks very interesting, love the work you doing on this. This is what Stan was talking about taking different indicators and putting them together to create the Weight of the Evidence.

I understand when you say making money from it is harder. It is always easier to look at these indicators once the events have accured and then know when to have exited or entered.

It will be interesting to see when it tells you to get back in the market. Eventually we going to have to follow these beautifully gauges blinding to make the money we hope to make. The key probably is narrow the focus on what works for us and then to trust it.

(2020-04-12, 07:12 PM)pcabc Wrote:

(2020-04-12, 05:24 PM)RUTrading Wrote: Pcabc, thanks for sharing the 2008 charts, looks very interesting, love the work you doing on this. This is what Stan was talking about taking different indicators and putting them together to create the Weight of the Evidence.

I understand when you say making money from it is harder. It is always easier to look at these indicators once the events have accured and then know when to have exited or entered.

It will be interesting to see when it tells you to get back in the market. Eventually we going to have to follow these beautifully gauges blinding to make the money we hope to make. The key probably is narrow the focus on what works for us and then to trust it.

My overall scores are starting to look better right now.  But if you look at previous events bounces in a bear market have increasing breadth.  An interesting example is the dotcom bubble:
1. During the stage 4 the advance / decline line was rising.
2. Weinstein's momentum was rising for much of 2000 - 2001 and was above zero for 2001 and the first half of 2002.
3.  The percentage of stocks above the 50% EMA was above 50% for much of the time (bullish).
4. Same can be said of the percentage of stocks above the 200 day EMA.
5. My overall score system is showing 'buy' despite being in a stage 4 in the market.
6. Lower highs in the index.

So unfortunately there is no magic bullet.


(Note, I have no new highs or new lows data for this period.)

Quote:Are you certain your data is that of those stocks in the S&P500 at that period back in 2000 -2001?

Quote:Another thing to maybe play around with is RelativeStrength of Value vs Growth or Growth vs Bonds or MidCap vs LargeCap and see if that can bring down that BUY score during those times.

Quote:The challenge is we can tailor make our scores to fit 2001, 2008 & 2020 and then not be fool proof for the next down turn. Anyway its all part of finding something that works the majority of the time, so it is working alot better in 2020 and thats important.

(2020-04-12, 09:28 PM)pcabc Wrote: Sorry, I don't follow what you mean with respect to 'RelativeStrength of Value vs Growth' or 'Growth vs Bonds'.  The data is largely based on the NYSE and comprises of several of the breadth measures in the book and a few others I have added over time.

The simplest way to remove a lot of those buy indications was to remove buy signals made when the index price is below a falling 150 day moving average.  Basically do not buy in stage 4.  It is an interesting point as so far I have deliberately based the signal on the breath signals excluding the index behavior.  Given the index price action is so clear I did not think it necessary.  I'll have to ponder that one.