Market Data Questions

 

Useful Analysis Links

Market Technicians Association Professional organization for technical analysts Association of Technical Market Analysts Fastest growing Technical Analysts Society in the world, affiliated to the MTA with lots of resources Decision Point Excellent charting and data site run by Carl Swenlin. Some… more
 

Time For A Change In How We Track Volume Data

Starting 3/08/2012 we changed how we track volume data.  It has long been a frustration of ours that there is no consistent way to look at the data for NYSE trading volume. It used to be that all trading of NYSE… more
 

Calculating The Coppock Curve

The Coppock Curve was developed in the 1960s by the late E.S.C. (Sedge) Coppock.  He called it his Very Long Term (VLT) Momentum Index.  It is calculated by finding the 11-month and 14-month rates of change (ROC) of the DJIA, adding… more
 

Different Lookback Period for New Highs and New Lows

It is an interesting question you pose.  What you are talking about is a process known as “optimization”, which is often used in development of automatic trading systems.  Say, for example, that a trader is trying to build a trading system… more
 

Source for Data on New Highs and New Lows

We have NYSE NH/NL data going back to 1980, and Nasdaq data going back not quite as far.  We also have NYSE A-D data as modeled and described in the Excel file available on our Market Breadth Data page. Some data… more
 

Ratio Adjusted Summation Index

When Sherman and Marian McClellan were developing the McClellan Oscillator and Summation Index in 1969, they used 8 years of historical data. That was quite a lot of data to go through, considering that all of the calculations were done manually,… more
 

Backwardation and Contango

Backwardation means that forward contracts are priced lower than nearer term contracts, or spot, and when it occurs it is a sign of price deflation to come.  As an example, suppose you could buy gold today (Dec. 8, 2008) for $700/oz,… more
 

The Meaning of Minor McClellan Oscillator Changes

To the best of our knowledge, it was the late Kennedy Gammage who came up with this hypothesis and was its chief proponent.  Gene Morgan also used to make mention of it on his Charting The Market television show in Los… more
 

Decimalization and its Effect on Breadth Numbers

The standard price increment for stock trading for many years was 1/8 of a point.  The reason for that increment goes back a couple of centuries to the way that stock prices were set as fractions of a ship's cargo value. … more
 

Exponential Moving Averages Calculation

If you are running any sort of TA platform, then the 10% Trend and 5% Trend are what others call a 19-day and 39-day Exponential Moving Average (EMA).  If you are doing your analysis in a spreadsheet calculation spreadsheet from the… more
 

Trend Indicator calculation

You pose some good questions about the Trend Indicator. It is a pretty darned good indicator in my experience, although the math involved makes its use almost prohibitive for some people. First, calculate the Price Oscillator for the index you are… more
 

The Gods Must be Crazy (Amplitudes Changed)

There is not one simple answer to your questions, since there a variety of complex and interrelated forces at work to bring about the phenomenon you are describing. Back in the 1970s, the amplitudes on the “normal” Summation Index were smaller… more
 

How McClellan Oscillator moves up on down day

Great question! The answer lies in the calculation of the Oscillator, which is dependent upon the values of the 10% Trend and 5% Trend of daily breadth. Since the Oscillator is the difference between those two numbers, it matters what they… more
 

Rydex Asset Numbers

We were among the earliest adopters of using Rydex fund asset levels as a sentiment indicator.  The first person we are aware of to start doing this was Steve Todd, of the Todd Market Forecast (see also our article on "The… more
 

Calculating Indicators in Daily Edition Table

If you are running any sort of TA platform, then the 10% Trend and 5% Trend are what others call a 19-day and 39-day Exponential Moving Average (EMA). If you are doing your analysis in a spreadsheet as we do, then… more
 

Summation Index and Zero

The big table in our Daily Edition shows the values for the McClellan Oscillator and Summation Index as calculated the old fashioned way, i.e. with no adjustment for the changing number of issues.  This same convention is used in the charts… more
 

TC2000 Charting Package and Exponential Moving Averages

Most of the competent charting packages will allow you to calculate exponential moving averages (EMAs).  Their terminology is different from ours, due to the public's fascination with moving averages being ascribed to some time parameter.  We use the original terminology used… more
 

Real-time NASDAQ Advance Decline Data

I don't want to be the one to disappoint you, but you will inevitably end up disappointed in this quest.  There are a few things that most people don't know about breadth data, which are worth knowing if you plan to… more
 

A-D Data: Composite, or Operating Companies Only

The question you pose concerns a very interesting issue within the science of technical analysis.  The short answer to your question is that we do not have data exactly like Lowry's, but we do have several series of A-D data which… more
 

Calculating the McClellan Oscillator

The McClellan Oscillator and Summation Index were developed by my parents back in 1969.  Calculation of these indicators starts with the daily A-D difference, as you have probably already discerned.  Two different exponential moving averages, the 10% Trend and the 5%… more
 

Can the McClellan Oscillator be used for day trading?

Thanks for writing. The short answer is “no”, but that is not the final answer. The McClellan Oscillator is based on the daily number of advancing and declining issues on the NYSE. Other permutations are also done with Up and Down… more
 

Exponential Versus Simple Moving Averages

The formula for converting an exponential moving average (EMA) smoothing constant to a number of days is:    2 ———-  N + 1 where N is the number of days.  Thus, a 19-day EMA would fit into the formula as follows:… more