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RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - isatrader - 2023-04-16

(2023-04-16, 12:14 PM)pcabc Wrote: I'm currently looking at whether the % stocks which have the Mansfield Relative Strength above the zero line and whether the zero line is rising is a useful breadth measure.  These additional calculations are very slow and I'm trying to work out whether I have bugs in my code or whether this is not a very useful parameter to measure?

Weekly Mansfield RS Above Zero Line is one of the ten conditions of the SATA score. However, a rising MA is not a requirement as it often doesn't start rising until months later.

You also need to make sure that you are adjusting all of your data for splits and dividends, as any calculations will be wrong otherwise, as unadjusted data breaks the various indicators. Especially if any rely on high and low data points. i.e. breakouts and breakdowns measures, or resistance levels.

RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - pcabc - 2023-04-16

(2023-04-16, 02:03 PM)isatrader Wrote:
(2023-04-16, 12:14 PM)pcabc Wrote: I'm currently looking at whether the % stocks which have the Mansfield Relative Strength above the zero line and whether the zero line is rising is a useful breadth measure.  These additional calculations are very slow and I'm trying to work out whether I have bugs in my code or whether this is not a very useful parameter to measure?

Quote:Weekly Mansfield RS Above Zero Line is one of the ten conditions of the SATA score. However, a rising MA is not a requirement as it often doesn't start rising until months later.

Interesting, as I recall I think where you managed to interview Stan Weinstein (what a coup) where the there is a requirement for the Mansfield RS zero line to be rising? I've searched but failed to find it. Yes, it can take a while to move up.

Quote:You also need to make sure that you are adjusting all of your data for splits and dividends, as any calculations will be wrong otherwise, as unadjusted data breaks the various indicators. Especially if any rely on high and low data points. i.e. breakouts and breakdowns measures, or resistance levels.

Yes, I'm using data adjusted for splits and dividends. It is quite annoying as although I use the adjusted close value to scale the open, close high and low quite early when I'm processing the data it is an extra complication that trips you up from time to time. I may have to make an artificial pool of a few stocks to manually check as the data I'm calculating right now for %stocks with a positive RS and also zero line rising seem to vary little.

RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - isatrader - 2023-04-16

(2023-04-16, 03:45 PM)pcabc Wrote: Interesting, as I recall I think where you managed to interview Stan Weinstein (what a coup) where the there is a requirement for the Mansfield RS zero line to be rising?  I've searched but failed to find it.  Yes, it can take a while to move up.

The rising part was observation that I made, as the failure rate of Stage 2 breakouts when it wasn't rising was much higher, as the stocks tend to still have a large amount of overhead resistance when the zero line is still declining. So hence it is a quality check, but not a requirement that would stop a stock from being in Stage 2.

RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - pcabc - 2023-04-21

Market Breadth based on Mansfield Relative Strength

I spent a fair bit of time carryiny out coding to calculate a market breadth measure on the % stocks with a Mansfield Relative Strength above the zero line and also % stocks with the zero line rising.  It then took the computer 4 days t to carry out the calculations.  I've not got time for commentary now, I will post some over the weekend.  The key part of me is that the charts are not what I would expect, especially breadth increasing as the market was in stage 4.

   

RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - pcabc - 2023-04-23

Commentary on my Mansfield Breadth plot

In my previous post I showed a plot of the % stocks with a Mansfield Relative Strength above the zero line (organge) and % stocks with the zero line rising (blue).  I've now annotated this chart so I can add my thoughts.  The charts are interesting, not quite what I expected and, honestly, I'm not completely sure what to do with in information shown at present.

What does % stocks with Mansfield RS above the zero mean?  What does % stocks with a rising zero line mean?

I think this is best discussed by looking at the chart.  I'll run through the % Mansfield RS above the zero line first and then the % rising zero line to avoid mixing them up too much.


   

% stocks with a +ve Mansfield RS

A: At A25-35% stocks have a +ve Mansfield RS.  The majority therefore have their Mansfield RS below the zero line.  But looking at the index, D, the index is rising.  So, the index is rising but the majority of the stocks are weaker than the index used for the RS.  I would assume therefore that the mega-caps are moving the index upwards ahead of the rest of the market.  At A the % stocks is modest but slowly increasing.  At B the increase is rapid, so from B to C the % stocks stronger than the index grows to peak at C. 

At C the the number of stocks with a +ve RS peaks and then drops to plateau for a while and then drops at E down to F and final bottoms at G.  But the index is still rising up to the peak at point H, just after the bottom at G.

From G, there is a bit of a wobble, but then it rises, I but this is before the low at J.  Finally at K the % stocks stronger than the index is over 50%.  At K there is a sudden drop. so most stocks again lag the index which is the basis for the Mansfield RS.

Is this interesting?  Yes.  Does it predict what the index will do?  Unsure.  The peak C in the breadth plot is about 9 months before the index peak at H.  The bottom G in the breadth plot is about 9 months before the bottom in the index J.  But is this meaningful.  Is 9 months a coincidence?  IS the fact that the % stocks with a +ve RS increasing while the index is in Stage 4 significant?  We can assume during this time only that the mega caps are weaker than an increasing % of stocks.  But it does not necessarily tell us whether any of these stocks are in any particular stage.


% stocks with a rising zero line for the Mansfield RS

This plot is similar to the % stocks with a +ve Mansfield RS.  Its a little delayed.  The rapid increase at M is later than the one at B.  The start of the plateau N coincides with the peak, C.  At O the plateau ends.  It drops down to a minimum at P.  This after the bottom on the other curve at G but still before the bottom in the index at J.  Around Q the % stocks with an upwardly sloping Mansfield RS zero line is increasing.  It is just below 50% at the index minimum at J.  Similar to K there is a big drop at R.


Any conclusions?

This is where I struggle with this.  There must be some correlation between these charts, the market and the index.  Perhaps these indicators fortell what is going to happen, but after a 9 month delay?  But this could be happenstance?  Perhaps these indicators declining whilst the index is rising urges caution?  But what of when they are rising with the index in Stage 4?  I feel that it is good to know what they are doing but I'm not sure of the direct application.

RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - isatrader - 2023-04-23

(2023-04-23, 02:28 PM)pcabc Wrote: This is where I struggle with this.  There must be some correlation between these charts, the market and the index.  Perhaps these indicators fortell what is going to happen, but after a 9 month delay?  But this could be happenstance?  Perhaps these indicators declining whilst the index is rising urges caution?  But what of when they are rising with the index in Stage 4?  I feel that it is good to know what they are doing but I'm not sure of the direct application.

My immediate takeaway from it is that when the % stocks with a Mansfield Relative Strength above the zero line (orange and blue combined) is above the 50% level. i.e. there's more stocks outperforming the index, then it's a period to be more aggressive on the long side, and then when the orange level starts to drop below the 50% level, then it signals to start being less aggressive, i.e.trim laggards, but hold leaders. And then when blue drops below 50%, it's time to tighten stops and be alert for changes of behaviour, signs or weakness etc.

But it is an interesting breadth study. Well done. Definitely worth further investigation. But you might need to compare against more than just the S&P 500, even if just against the equal weight version instead, as the breadth decline correlates strongly with the broader market weakness during 2021 that was clear in NYSE and especially the Russell 2000 for example.

   

RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - pcabc - 2023-04-23

Market breadth based on Mansfield Relative Strength, in the context of Stages

I think putting the Manfield RS based indicators in the context of the Stage based indicators I worked on previously is more useful.  Below I have legthend the time window and included my % stage indicators.

   

In this chart we can see that the rise in the % stocks wth their RS above the zero line rises,crossing 50% following a big increase in the % stocks in Stage 2.  This makes sense.

The % +ve RS then peaks as the % stocks in Stage 2 starts to decline.  At the point at which the stocks in Stage 3 peaks the % stocks with a +ve RS crosses down below the 50% line.  % stocks in Sage 4 start to rise.  Yrd, the index rises for another 6 months, but the underlying breadth is weakning.  I suspect that being sucessful with Stage analysis, at least for myself, in this period would be challenging.

On the right hand side we have a fallback in both the new RS based indicators and % Stage 2 stocks and an increase in % Stage 4.

So I think this is something to look at in the context of the stages.

RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - pcabc - 2023-04-23

(2023-04-23, 03:00 PM)isatrader Wrote: My immediate takeaway from it is that when the % stocks with a Mansfield Relative Strength above the zero line (orange and blue combined) is above the 50% level. i.e. there's more stocks outperforming the index, then it's a period to be more aggressive on the long side, and then when the orange level starts to drop below the 50% level, then it signals to start being less aggressive, i.e.trim laggards, but hold leaders.

Good point. If I had a large format colour printer (I don't) just pinning the charts to the wall leaving them there for a week or two might give new insight.

Orange and Blue combined would be a sum of stocks above the zero line and stocks with a rising zero line? Perhaps a recalculation based on a score of +1 for RS above the zero line and zero line rising, -1 for RS below the zero line and zero line falling? But I'd have to recalculate, which takes a long time.

I agree, orange line falling below 50% is a warning. Orange line on its own rising above 50% is a bit slow, and combining that with the blue one (RS zero rising) would delay it further. Trouble is, only limited data, so perhaps I'm plotting an anomaly here?


Quote:But it is an interesting breadth study. Well done. Definitely worth further investigation. But you might need to compare against more than just the S&P 500, even if just against the equal weight version instead, as the breadth decline correlates strongly with the broader market weakness during 2021 that was clear in NYSE and especially the Russell 2000 for example.

Swapping the index is easy. I'll change the index to the S&P Small cap 600 later. Don't seem to have the Russell 2000 available, except for a UK ETF which may have currency exchange rates overlaid - confusing the picture.

Not what you suggested, but swapping the underlying breadth pool is slower. It was about 2 1/2 mins per point for these latest calcs. My computer started to swap memory much more, so my plan to see if I can load all of the stocks in breadth pool to allow for MUCH faster historical breath calculations is probably a non-starter. I can try loading the data to see if it is feasible fairly quickly though.