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2005issue C121-7

Bounded market breadth from the Arms index to BRIN

A classic four-input Arms index can be rebuilt as a signed, bounded oscillator so issue-count pressure and volume pressure become separate, testable chart conditions rather than one mixed reading.

  • The reconstructed breadth measure takes four inputs: advancing issues, declining issues, advancing volume, and declining volume.
  • BRIN passes the core product of the declining-to-advancing volume ratio and the advancing-to-declining issue ratio through a one-minus-over-max transform, producing a signed, bounded reading.
  • ILine isolates issue-count imbalance and VLine isolates volume imbalance, so each half of the construction can be plotted on its own.
  • A published rule set uses a 10-day simple average of BRIN with mapped Arms-style thresholds, and implementations remap the four input symbols when the exchange series changes.
Entries in this reading3 entries
Current trackOn-balance volume88 readingsMarket breadth147 readingsVolume-price analysis207 readings

Four inputs from the Arms index

The Arms index is the four-input breadth ratio of advancing and declining issues against advancing and declining volume that the reconstruction starts from.

The reconstructed breadth measure takes four inputs: advancing issues, declining issues, advancing volume, and declining volume.

Market-breadth supplies the issue-count half of that construction: market-wide counts of advancing versus declining issues.

How BRIN bounds the core ratio

The core ratio is declining volume over advancing volume multiplied by advancing issues over declining issues, with a zero-denominator guard on the volume and issue divisors.

BRIN is a signed, bounded recast of the Arms index that maps the product of the declining-to-advancing volume ratio and the advancing-to-declining issue ratio through a one-minus-over-max transform.

BRIN is that core ratio passed through (1 minus the ratio) divided by the greater of 1 and the ratio, producing a signed, bounded reading.

ILine and VLine as separate conditions

ILine applies the same bounded transform to the squared advancing-to-declining issue ratio, so issue-count imbalance can be plotted apart from volume.

VLine applies the same bounded transform to the squared declining-to-advancing volume ratio, so volume imbalance can be plotted apart from issue count.

On-balance-volume is used here as cumulative or comparative volume-flow logic applied to advancing versus declining volume, so volume pressure can be isolated from issue-count pressure.

An alternative bounded Arms path

An alternative construction first computes the conventional Arms ratio of issue ratio over volume ratio, then applies either (ratio minus 1) or (1 minus ratio) divided by the greater of 1 and the ratio.

Price, breadth, and a published average rule

Volume-price-analysis is the joint reading of price structure against advancing and declining volume so a breadth transform can be checked against the same bar scale as the index or stock.

One sample chart stacks one-minute NASDAQ-100 price above BRIN, the conventional Arms series, advancing versus declining issues, and advancing versus declining volume.

A published rule set uses a 10-day simple average of BRIN, treating a drop below -0.17 as an oversold market condition and a rise above 0.2 as an overbought exit condition, after mapping those levels from Arms-style 0.8 and 1.2 average thresholds.

Remapping exchange symbols

Exchange coverage and ticker symbols are data-source specific. Implementations switch among NYSE and NASDAQ breadth series by remapping advancing, declining, up-volume, and down-volume symbols.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
47 of 61 in the On-balance volume track
20061-7 pp.Next on On-balance volumeOvernight-hold entry and exit constructionThe construction enters between 1400 and 1545 Eastern time and typically closes the next trading day, often before noon, so the overnight hold is usually open for only two to four hours of session time.
All readings on this track · 61 readings
  1. 1988Cumulative volume trend and 200-session polarity
  2. 1988Three clocks when cumulative volume led price
  3. 1988Payoff index checkpoints for open interest and divergence
  4. 1988Relative strength, stochastics, and on-balance volume as a turning-point stack
  5. 1988Signing volume by open interest change
  6. 1988Case study: weekly on-balance volume with trendlines and a 21-period average
  7. 1988Combining weekly and daily MACD divergences with on-balance volume
  8. 1988Restoring the original tests for market breadth, on-balance volume, and trendlines
  9. 1989Evaluating volume-weighted breadth extremes
  10. 1989Demand oscillator construction with a momentum overlay
  11. 1989Constructing a volume percentage ratio from advance-decline flow
  12. 1990Constructing net positive volume as On-balance volume
  13. 1990Buying-share scale with on-balance volume
  14. 1990Friday-filtered on-balance confirmation lines
  15. 1991Constructing rate-market volume breadth from on-balance volume
  16. 1991Building a breadth composite from on-balance volume breakouts
  17. 1992Constructing a rate-complex volume-breadth index
  18. 1992Constructing a breadth index from on-balance volume
  19. 1992Constructing signed market thrust from issue volume
  20. 1992Constructing indicator phase across averages, volume and bands
  21. 1993Force on-balance volume to agree with itself at slower horizons
  22. 1993Three transforms of market thrust from breadth and volume
  23. 1994Constructing a tick-line momentum oscillator
  24. 1994Constructing a smoothed on-balance tick momentum oscillator
  25. 1994Histogram confirmation and a second-series veto for MACD-family alerts
  26. 1994Constructing a 40-period envelope on on-balance volume
  27. 1996Constructing a matched percent-B volume disparity
  28. 1997Constructing calendar regime overlays and volume-weighted rules
  29. 1997Constructing market thrust from breadth and volume
  30. 1997Constructing on-balance volume as a signed running total
  31. 1997A three-layer construction for a signed volume-force oscillator
  32. 1997Constructing a range-sum volume-force oscillator
  33. 1999On-balance volume confirmation, price-indicator divergence, and bounded exits
  34. 2000A daily long-only confirmation stack on the tether line
  35. 2000A three-filter tether and volume trend system
  36. 2003Constructing finite volume elements as a finite-period money-flow filter
  37. 2003Constructing on-balance volume from signed session volume
  38. 2003On-balance volume as a market-breadth participation ledger
  39. 2003Construct a volatility-adjusted on-balance volume filter before confirming a breakout
  40. 2004Opening and midday ranges as an on-balance-volume breakout case
  41. 2004Constructing a volatility-gated volume-flow measure
  42. 2004Constructing a volume-flow series from on-balance volume
  43. 2004Volume-flow indicator construction from on-balance volume
  44. 2004Volume-flow slope divergence, then separate on-balance-volume and crossover rules
  45. 2004Volume flow and band construction as one inspectable problem
  46. 2004Auditing advance-decline confirmation for scale, horizon, and composition
  47. 2005Bounded market breadth from the Arms index to BRIN
  48. 2006Overnight-hold entry and exit construction
  49. 2007Evaluating Volume-price confirmation versus On-balance volume and MACD
  50. 2009Volume confirmation versus a price advance
  51. 2010Typeahead retrieval of a moving average, on-balance volume, and a stochastic oscillator
  52. 2010Modified volume-price trend and log-price scale alignment
  53. 2010Constructing liquidity accelerometers from advance-decline averages
  54. 2012Failed short cycles as breadth and volume tests
  55. 2016Earnings straddles, implied volatility, and money-flow filters
  56. 2017A volume residual filter and a price projection matrix
  57. 2019Volume-volatility parabola and signed-volume momentum
  58. 2019Separating on-balance volume into breadth and volume
  59. 2020Constructing the obvm signal line
  60. 2020Constructing smoothed on-balance volume with a signal line
  61. 2020Keep neutrality as a first-class input in three-state market data
By fieldMarket breadth135 readingsBy year2005167 readings
All 88 readings tagged On-balance volume
Also on On-balance volume5 readings
1989Evaluating volume-weighted breadth extremes1992Constructing a breadth index from on-balance volume1992Constructing a rate-complex volume-breadth index1992Constructing signed market thrust from issue volume1997Constructing market thrust from breadth and volume