Skip to main content
Track Market breadth
39 / 71
Search the archiveLibrary
Library

1994issue C051-8

Read one advance-decline pair through three windows

Daily advancing issues and declining issues are one two-count dataset. That pair can be read as a smoothed participation average, as a short-versus-long moving-average spread, and as a breadth stochastic on cumulative DDI, so each window can be written as a timing hypothesis rather than collected as another look-alike oscillator.

  • Daily advancing issues and declining issues can be studied raw, as moving-average spreads, as a daily difference of issues, or as ratios aimed at overbought and oversold states and at the direction of the broad market.
  • STIX and the McClellan oscillator are shown turning together from the same advance-decline inputs, with small differences from calculation and smoothing, and in that 1993 window the McClellan series missed its overbought zone while reaching an oversold reading in early November.
  • The link from advance-decline data to price is broad but neither exact nor constant, so cumulative DDI can rise while the market stays in a narrow range. A five-period breadth stochastic flags extremes on that cumulative series, with an 80/20 crossover marked against a broad stock index and readings of 100 and 0 noted as earlier reversal alerts.
  • Which breadth construction to use is a function of the intended trading horizon.
Entries in this reading3 entries
Current trackMarket breadth120 readingsStochastic oscillator170 readingsMoving average449 readings

One pair, three windows

Advancing issues are the daily count of listed stocks that closed higher, and declining issues are the daily count of listed stocks that closed lower. The pair can be studied raw, as moving-average spreads, as a net difference, or as ratios aimed at overbought and oversold states and at the direction of the broad market.

The daily difference of issues is that one-session net. The ADI index expresses advancers as a percentage of advancers plus decliners. The DDI index scales net advances by the sum of advancers and decliners, and cumulative DDI is the running total of that scaled series.

The same pair is read here through three windows: a smoothed participation average, a short-versus-long moving-average spread, and a stochastic bound on cumulative net advances.

A smoothed participation average

STIX is a short-horizon exponential average of the ADI index. It is a 21-day, 9 percent exponential average: today's value is 0.09 times the ADI index plus 0.91 times yesterday's STIX, and the ADI index is 100 times advancers divided by advancers plus decliners.

STIX is described as usually falling between 42 and 58. In the mid-to-late 1993 overlay a reading above 54 was labeled overbought in September, and its peaks and troughs were aligned with those of a broad stock index.

Breadth thrust is a short exponential average of the ADI index used to watch for a rapid participation surge. It is a 10-day exponential average of the ADI index, and a climb above 60 percent inside two weeks is presented as a pattern often associated with the start of bull markets.

STIX through the 54 overbought line, April–November 1993

The 21-day exponential advance-share average (STIX) follows the same peaks and troughs as the cash S&P 500 across this stretch and breaks above 54 in September, the overbought reading the source flagged. Levels were read off the printed Figure 2 curve, not from a numeric table, so they are approximate to about half a point.
The 21-day exponential advance-share average (STIX) follows the same peaks and troughs as the cash S&P 500 across this stretch and breaks above 54 in September, the overbought reading the source flagged. Levels were read off the printed Figure 2 curve, not from a numeric table, so they are approximate to about half a point.NYSE advance-decline (STIX) vs S&P 500 · Daily · 1993-04-01T00:00:00.000Z to 1993-11-30T00:00:00.000Z

STIX is the 9 percent (21-day) exponential average of 100 × ADI / (ADI + DCI). The source treats this sample’s usual band as 42–58 and calls September overbought once STIX is above 54. The printed series begins after the EMA warmup, in late April.

A short-versus-long spread

The McClellan oscillator is the spread between a shorter and a longer exponential average of net advances. It is defined as the 19-day exponential average of net advances minus the 39-day exponential average, with conventional zones near +70 to +100 and -70 to -100.

A 10-day exponential average of the daily net-advance series is used as an overbought and oversold gauge with reference levels above +200 and below -200.

STIX and the McClellan oscillator, built from the same advance-decline inputs, are shown turning together in 1993, with small differences attributed to calculation and smoothing. In that window the McClellan series did not reach its overbought zone and did reach an oversold reading in early November.

A stochastic bound on cumulative DDI

The link between advance-decline data and price is described as broad but neither exact nor constant. Cumulative DDI can rise while the market remains in a narrow range, as noted for July-August and September-October 1993.

A five-period stochastic of that cumulative series is the breadth stochastic: a stochastic oscillator applied to cumulative net advances rather than to price. It is used to flag breadth extremes. An 80/20 crossover rule is marked against a broad stock index, and readings of 100 and 0 are noted as earlier reversal alerts.

Horizon chooses the construction

Which breadth construction to use is presented as a function of the intended trading horizon.

Editorial: match the window to the intended trading horizon, write the zone or crossover in advance, and treat a miss as a failed hypothesis rather than as a prompt to switch oscillators.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
39 of 71 in the Market breadth track
19941-3 pp.Next on Market breadthConstructing calibrated market-breadth summation indexesA net-advance residual is formed by pairing advancing-issue counts with declining-issue counts and subtracting the declining series from the advancing series.
All readings on this track · 71 readings
  1. 1987How a failed rebound, weak breadth, and cycle dates broke the 1987 bull case
  2. 1988Diagnosing market bottoms with breadth, divergence and averages
  3. 1988Diagnosing index tops with breadth divergences
  4. 1988Record highs versus seven-day breadth and divergence
  5. 1989Constructing a percentage-scaled internals composite
  6. 1989Constructing a weekly block-tick breadth z-score
  7. 1989Constructing a dual-rate advance-decline oscillator
  8. 1989Normalize advance-decline series for a common-scale comparison
  9. 1990Unchanged-issue share as a narrow-breadth case study
  10. 1990Evaluating daily and weekly unsigned plurality breadth
  11. 1990Constructing paired new-high and new-low breadth indicators
  12. 1990Ten-day HI/LO extremes as a long-horizon breadth signal
  13. 1990Confirming index cycles with breadth, volume, and waves
  14. 1990Index cycle gates from breadth and volume
  15. 1990Constructing advance-decline breadth indicators
  16. 1990Weekly advance-decline oscillator: weight map, extremes, and spike cycle
  17. 1990Price-weighted construction distorts breadth, support, and trend
  18. 1991A peak-sequence test from the new-highs-to-advances-ratio
  19. 1991Fuzzy rules that turn daily market-breadth into a session consensus
  20. 1991From daily breadth tallies to a weighted consensus signal
  21. 1991Retesting market-breadth when market structure changes
  22. 1991Constructing TRIN as a breadth-volume ratio
  23. 1991Build the market clock before you read a price bar
  24. 1991A construction audit of the long-horizon trading index
  25. 1991Independent formula timers kept as a testable combination
  26. 1992When identical TRIN prints come from different pairings
  27. 1992Grade closing tick before a next-session breadth hypothesis
  28. 1992Noncumulative advance-decline swing confirmation
  29. 1992Five-day sum construction of the trading index
  30. 1992Daily closing-trin extremes and next-day direction
  31. 1992A three-layer audit: regime, breadth, and group RSI
  32. 1992Constructing a nine-state trend, momentum, and breadth score
  33. 1993Constructing a market-volume-impact rating from nested averages
  34. 1993When advance-decline confirmation counts the wrong universe
  35. 1993Constructing breadth momentum from advance-decline smoothing
  36. 1993Constructing a cumulative market-thrust line
  37. 1994Three-horizon construction of the Haurlan index
  38. 1994Checklist-gated session entry in 1993 index futures
  39. 1994Read one advance-decline pair through three windows
  40. 1994Constructing calibrated market-breadth summation indexes
  41. 1994Constructing a two-speed advance-decline oscillator and a calibrated summation
  42. 1995NYSE tick extremes and candlestick reversal entries
  43. 1995Assembling range, breadth, and a stored stop into one procedure
  44. 1995Restating market breadth timing rules as ratios
  45. 1995Constructing breadth ratio gates after lookback drawdowns
  46. 1995Building a short-range breadth and price oscillator
  47. 1996Constructing a smoothed advance-decline trend filter
  48. 1996Smoothed advance-decline alerts at the 1987 and 1990 turning points
  49. 1996Constructing breadth, RSI, and stochastic range filters
  50. 1996New-high and new-low counts as a breadth construction
  51. 1996Constructing the four-input breadth-volume ratio
  52. 1996Constructing the McClellan oscillator and a calibrated summation index
  53. 1996Declare the oscillator seed, then calibrate only the summation index
  54. 1997Three-gate centered strength in market-breadth construction
  55. 1997Daily advance-decline and new-high new-low breadth signals
  56. 1999Index-fund positions as a majority-vote committee
  57. 2000Tick, tiki and TRIN as a three-layer session confirmation stack
  58. 2000Constructing an advance-decline oscillator from one listed tape
  59. 2001Market breadth, beta, and volume-price confirmation
  60. 2001Regime context from relative venue volume, breadth, and intermarket spreads
  61. 2002When NYSE breadth misreads operating-stock participation
  62. 2003Two-gate breadth divergence and a trend filter for rally tops
  63. 2003Market internals confirm or diverge from the index
  64. 2004Constructing the McClellan oscillator and summation index
  65. 2005Intraday index-futures divergence as a three-part session hypothesis
  66. 2005Breadth summation levels as a short-term signal filter
  67. 2005Checking trend versus range with breadth and divergence
  68. 2011Constructing a Nasdaq hi-lo index from highs, lows, and issues traded
  69. 2013Cumulative advance-decline versus a one-year average
  70. 2013A one-year breadth average as a participation gate
  71. 2015Falsifying a healthy correction with breadth and support
By fieldMarket breadth101 readingsBy year199483 readings
All 120 readings tagged Market breadth
Also on Market breadth5 readings
1996Constructing breadth, RSI, and stochastic range filters1997Three-gate centered strength in market-breadth construction2005Intraday index-futures divergence as a three-part session hypothesis1988Diagnosing index tops with breadth divergences1988Diagnosing market bottoms with breadth, divergence and averages