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1995issue C091-2

Building a short-range breadth and price oscillator

The short-range oscillator is assembled from daily NYSE issue statistics and the daily DJIA close. It is the simple average of a recentered breadth residual and a smoothed price residual, and it is intended to mark overbought and oversold indications.

  • The short-range oscillator is the simple average of the recentered breadth residual and the smoothed price residual.
  • Breadth share is advancing issues plus half of unchanged issues, expressed as a percentage of all issues traded that day, then averaged over ten sessions and recentered by subtracting 50.
  • The price-to-average gap is the percentage difference between the daily DJIA close and a 25-session moving average of that close, then smoothed over five sessions.
  • Rounding can produce small differences between a worksheet implementation and an official published series.
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Current trackMarket breadth120 readingsMoving average449 readings

What the short-range oscillator is

The short-range oscillator is a composite series formed by averaging a recentered market-breadth residual with a smoothed percentage gap between an industrial-average close and its moving average.

The historical workflow assembles that composite from daily NYSE issue statistics together with the daily DJIA close. The series is intended to mark overbought and oversold conditions.

The recentered breadth residual

The breadth input is the breadth share: advancing issues plus half of unchanged issues, expressed as a percentage of all issues traded that day.

That daily breadth share is smoothed with a 10-day average, after which 50 is subtracted to recenter the series. The recentered breadth residual is that 10-session average of the breadth share, shifted so the series sits around a midpoint.

The smoothed price residual

The price input begins with a 25-day moving average of the DJIA close, then converts the close-versus-average distance into a percentage of the close. That quantity is the price-to-average gap: the percentage difference between a daily industrial-average close and a 25-session moving average of that close.

The percentage close-versus-average series is then smoothed with a five-day average. The smoothed price residual is that five-session average of the price-to-average gap.

The composite average

The oscillator value is the simple average of the five-day smoothed price residual and the recentered 10-day breadth residual.

Overbought and oversold indications are the qualitative market-condition labels the composite is constructed to supply when the averaged residuals are stretched.

Short-range oscillator and its two residuals

The short-range oscillator is the simple average of a recentered NYSE breadth residual and a smoothed DJIA-versus-average residual. Breadth is the only half with a full window in the worked sheet; the price residual and the composite appear only on the last three dates. Values are taken from Sidebar Figure 1, the Excel 4.0 demonstration table.
The short-range oscillator is the simple average of a recentered NYSE breadth residual and a smoothed DJIA-versus-average residual. Breadth is the only half with a full window in the worked sheet; the price residual and the composite appear only on the last three dates. Values are taken from Sidebar Figure 1, the Excel 4.0 demonstration table.NYSE breadth and DJIA · daily · 1995-06-09T00:00:00.000Z to 1995-07-11T00:00:00.000Z

Breadth residual equals the 10-day average of (advances + half of unchanged) as a percent of total issues, minus 50. Price residual equals a 5-day average of the percent gap between the DJIA close and its 25-day average. The oscillator is (price residual + breadth residual) / 2. The sheet notes that rounding can differ from Trendline’s official prints.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
46 of 71 in the Market breadth track
19961-5 pp.Next on Market breadthConstructing a smoothed advance-decline trend filterBuild market breadth from the composite tape as each session's advancing issues minus declining issues, and keep an advance-decline line as the running sum.
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 fieldIndicators and filters682 readingsBy year199575 readings
All 120 readings tagged Market breadth
Also on Market breadth5 readings
1988Diagnosing index tops with breadth divergences1988Diagnosing market bottoms with breadth, divergence and averages1989Constructing a weekly block-tick breadth z-score1989Constructing symmetric market-breadth ratio accumulators1989The most-active list as a three-layer breadth lab