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+--- Thread: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis (/Thread-Stan-Weinstein-s-Stage-Analysis-and-Market-Breadth-Technical-Analysis)
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RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - pcabc - 2023-05-11
Further work on Mansfield Relative Strength Based Market Breadth
I've increased my calculations from 1 year of historic data to nearly five and also plotted my corrected Mansfield Relative Strength based scoring system.
The main observations I see are:
1. I'm not sure that the theory about being more aggressive when the % stocks above the zero line (amber) and the % stocks with the zero line rising (blue) and being more cautious when these fall back works now. In the year running up to the covid crash these two metrics were well below the 50% line and falling.
2. I suspect there is a glitch in the orange and blue graphs in late 2019.
3. Perhaps I should set a limit at 33% stocks (one third) having a Mansfield RS above the zero line as a bullish condition?
4. The % stocks with the Mansfield RS rising is calculated based on the slope of a 50 day SMA of the RS line. Perhaps I should use a longer period? (noting each data point takes 2.5 mins to calculate. 5y = 5*260 (approx trading days = 1300. 1300 * 2.5 = 3260 mins = 54 hours = 2.25 days of calculation.
5. My Mansfield RS score for a stock is +2 or -2 depending on whether the RS is above or below the zero line, +- 1 for rising or falling zero line and +- 1 for rising or falling RS. Maybe weighting of 2 for the Mansfield RS being above or below the zero line is too much? The score seems to closely track the first (orange) plot.
6. Perhaps data on the left hand side of the chart is more sparse distorting the chart? However, my calculations record how many stocks were included in the calculation for each data - so perhaps this is accounted for?
I've just added charts for the % stocks above their 20, 50 and 200 day EMAs (below, [2, 3 & 4]) and my estimates (below, [5]) of % stocks in Stages 2 and 4. IF we again look at 2019 we find that generally there were more stocks in Stage 4 than 2, the % stocks above their 200 day EMA was between 30 and 60 - hovering around 50%. So, the Mansfield based breadth stats for 2019 were lackluster because the underlying strength at that time was poor? We can corroborate this by looking at a comparison of the S&P600 (small cap, red) plotted against the S&P500 (large cap, grey) for the same period. The S&P600 lagged the S&P500 and the plot of their relative strength (blue) supports it being weaker. So we have a market rising on weak breadth.
I'm still thinking about what this all means. It seems the % stocks with their Mansfield RS being > 50% is a good sign of strong breadth, we just need to be wary of markets rising on poor breadth. Perhaps it also means that if the underlying breaths is declining with a still rising index then:
a. Be more careful,
b. If using Stage analysis trawl strongest sector, SP500, SP5100 or NASDAQ 100 only?
c. Track a still strong index, but be careful in setting stop losses.
RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - isatrader - 2023-05-13
I'd have a look at some individual charts to confirm the data, as from a quick visual check of 2020 for example, I'm seeing more stocks above their Mansfield RS zero line than not when looking at the Nasdaq 100 stocks for example. This is just a quick visual check mind. But the Percentage above their Mansfield RS zero line in your chart seems far too low.
I've attached the Russell 3000 etf for example, which shows that it was above the Mansfield RS zero line from May 2020 to August 2021, so the individual stocks within the index should have been above 50% imo if the index etf is outperforming the S&P 500, as it's an average of the stocks. But if you look at the NYSE index it underperformed through 2020, while the Nasdaq Composite massively outperformed. So it could just be that your data is focused mostly on the NYSE.
RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - pcabc - 2023-05-13
(2023-05-13, 04:52 PM)isatrader Wrote: I'd have a look at some individual charts to confirm the data, as from a quick visual check of 2020 for example, I'm seeing more stocks above their Mansfield RS zero line than not when looking at the Nasdaq 100 stocks for example. This is just a quick visual check mind. But the Percentage above their Mansfield RS zero line in your chart seems far too low.
The simple answer here is to run the calculations on the Nasdaq 100. This will take some time, but not as much as the Russell 3000 or UK pools. If the Nasdaq 100 plots correlate with a reasonable sample of NASDAQ 100 stocks then the math are likely good.
I've plotted the Nasdaq 100 versus the Nasdaq Composite below and it indicates that the 100 was stronger than the Composite for most of 2020, but weakened October onwards. So there may have been a bias towards a the stronger stocks within the 100 for Jan - Oct. That might also apply _within_ the Nasdaq 100. But I really need to run the calcs for the Nasdaq 100 as checking is easier.
RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - pcabc - 2023-05-19
A few large / mega caps keeping the indices up?
Evidence:
- The mega / large cap / tech dominated NASDAQ100 is more bullish than the S&P500, itself a large cap index.
- I estimate more stocks are in Stage 2 than Stage 4 in the NASDAQ100.
- I estimate fewer stocks are in Stage 2 than Stage 4 in the Russell 3000.
RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - pcabc - 2023-05-19
More evidence supporting this thesis:
(2023-05-19, 11:37 AM)pcabc Wrote: A few large / mega caps keeping the indices up?
The small cap S&P600 is weaker than the large cap S&P500:
The S&P500 is stronger than the S&P500 equal weight ETF.
So, the markets are weaker than the large cap indices imply. Will the broader market catch up or are we in for more pain?
RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - pcabc - 2023-06-04
(2023-05-13, 05:37 PM)pcabc Wrote:(2023-05-13, 04:52 PM)isatrader Wrote: I'd have a look at some individual charts to confirm the data, as from a quick visual check of 2020 for example, I'm seeing more stocks above their Mansfield RS zero line than not when looking at the Nasdaq 100 stocks for example. This is just a quick visual check mind. But the Percentage above their Mansfield RS zero line in your chart seems far too low.
The simple answer here is to run the calculations on the Nasdaq 100. This will take some time, but not as much as the Russell 3000 or UK pools. If the Nasdaq 100 plots correlate with a reasonable sample of NASDAQ 100 stocks then the math are likely good.
OK, there has been a bit of a delay in doing this. I've produced some new code to tabulate the relevant parameters for each stock in a group of stocks I'm measuring breadth for. I ran this on the NASDAQ100. It appears that the correct values on the correct dates are being recorded from doing some spot checks on the individual stock charts. The overall total seems to match the recorded values saved in my database - with a couple of allowances for incomplete data which makes a small difference. So, on balance, it looks like the calculations of breadth based on Mansfield Relative Strength are correct.
However, a lot of my stock data starts around 2020 or perhaps a year before. So, even if the calculations are correct, the 2020 data is not good. So I'd only trust my Mansfield RS breadth calcs from 2021 onwards.
RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - pcabc - 2023-06-11
List of S&P500 stocks with a Mansfield RS above zero
This is based on a fairly out of date list of S&P500 stocks and my Mansfield Relative Strength calculation:
RE: Stan Weinstein's Stage Analysis and Market Breadth - Technical Analysis - pcabc - 2023-06-11
(2023-06-11, 08:51 PM)pcabc Wrote: List of S&P500 stocks with a Mansfield RS above zero
This is based on a fairly out of date list of S&P500 stocks and my Mansfield Relative Strength calculation:
Note, this is out of 465 stocks. The conclusion therefore is that 125 out of 465 stocks are stronger than the S&P500, so these 125 are pulling it up.