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2012issue C0855-61

Constructing an advancer-decliner moving average for market breadth

A market-breadth series can be constructed from a dedicated instrument whose high field holds advancing issues and whose low field holds declining issues. The difference of advancers minus decliners then becomes the input to a moving-average expression that is plotted as a series.

  • A dedicated instrument can hold advancing issues in its high field and declining issues in its low field, which is enough to construct a market-breadth series.
  • The first construction step is a calculated difference of advancers minus decliners; that difference then becomes the input to a moving-average expression.
  • The plotted breadth average is declared as a series, and the moving-average period should be an integer flagged as a lookback so the editor treats it as a historical window.
  • Parameter stepping tests several lookback combinations at once, and walk-forward analysis then keeps entry, exit, and abstention rules testable as one procedure.
Entries in this reading3 entries
Current trackWalk-forward analysis95 readingsMarket breadth120 readingsMoving average449 readings

Build the difference before smoothing

A market-breadth series can be constructed from a dedicated instrument whose high field holds advancing issues and whose low field holds declining issues.

The first construction step is a calculated difference of advancers minus decliners, after which that difference becomes the input to a moving-average expression.

Declare a series and a lookback window

A plotted breadth average is declared as a series, meaning a list of numbers, rather than as a single scalar.

A lookback integer used as a moving-average period should be typed as an integer and flagged as a lookback so the editor treats it as a historical window.

Step several lookbacks at once

Parameter stepping lets several distinct lookback combinations be tested concurrently, which is the construction counterpart of comparing an explicit quantitative baseline.

Keep the rules testable after the indicator exists

Walk-forward analysis is presented as a built-in way to keep entry, exit, and abstention rules testable as one procedure after the breadth indicator exists.

A chart condition becomes a hypothesis

Price-pattern sketches on the same pages show a chart condition becoming a hypothesis: shorts at an anticipated reversal either cover on a breakout or remain profitable after a retracement.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
37 of 50 in the Walk-forward analysis track
201251-56 pp.Next on Walk-forward analysisFormula search as mechanical system constructionBegin construction by loading delimited numeric series, inspecting them in a spreadsheet view, and assigning one row range to optimization and a later unused range to checking.
All readings on this track · 50 readings
  1. 1990Three-window walk-forward system evaluation
  2. 1990Building the construction layer of a mechanical trading system
  3. 1991Constructing walk-forward neural trading rules
  4. 1991Constructing neural trading systems from facts to walk-forward
  5. 1992Walk-forward evaluation of stop overlays on average crossovers
  6. 1992Audit mechanical system tests for fills and regimes
  7. 1993Walk-forward evaluation of monthly yield and real-rate forecasts
  8. 1993Constructing walk-forward forecasts with linear and moving-average baselines
  9. 1993Walk-forward hybrid rules for intermarket forecast stacks
  10. 1994Neural-net construction as a mechanical trading-system problem
  11. 1995Constructing an intermarket neural net trading system
  12. 1996Weekly market breadth as one procedure on an unused window
  13. 1996Walk-forward evaluation of gold-index bond-fund rules
  14. 1996Evaluating weekday-in-month filters for index day trades
  15. 1996Require both a trend filter and a cycle oscillator before entry
  16. 1997Walk-forward windows as a diagnostic of parameter instability
  17. 1997Walk-forward validation of a market-breadth timing rule
  18. 1997Sunspot spikes and walk-forward evaluation of an adaptive cycle rule
  19. 1997A walk-forward check for bond-breadth timing
  20. 1998Walk-forward audit of regression trend forecasts
  21. 1998Evaluating a cubic least-squares currency trend with walk-forward segments
  22. 1998Walk-forward evaluation of recursive yen trend signals
  23. 1999Personal system design under crowd psychology
  24. 1999Walk-forward evaluation of a polynomial price forecast
  25. 2000Walk-forward optimization of regression-slope-angle rules
  26. 2001Construct a winter seasonal window as one procedure
  27. 2001Inspectable rules when system write-ups dry up
  28. 2002Evaluating mechanical systems before position sizing
  29. 2003Walk-forward construction of rule-based market-position systems
  30. 2007Evaluating metal seasonal windows across regimes
  31. 2007Evaluating mechanical timing systems against hold baselines
  32. 2011Walk-forward reoptimization as a system design gate
  33. 2011Evaluate generated systems on holdouts, then add stops
  34. 2012Walk-forward analysis and out-of-sample tests for a mechanical trading system
  35. 2012Personality-first trading system design
  36. 2012Scorecard-first mechanical system construction
  37. 2012Constructing an advancer-decliner moving average for market breadth
  38. 2012Formula search as mechanical system construction
  39. 2013Identity-first system construction
  40. 2013Construct a swing system from bias rules to walk-forward
  41. 2014Evaluate mechanical stock systems with stops and walk-forward
  42. 2014Walk-forward velocity filters on noisy intraday trends
  43. 2015Event-predictability versus position-constrained rules
  44. 2015Constructing mechanical systems for walk-forward tests
  45. 2016When a tested system must be retired
  46. 2016Walk-forward metric filters and chance-level checks for selected inputs
  47. 2018Evaluate mechanical trading systems without catalog rankings
  48. 2019Phased stop construction from entry risk to trailing exit
  49. 2020Stockpiling simple ideas for mechanical system construction
  50. 2020A pretty first draft is not a walk-forward waiver
By fieldMarket breadth101 readingsBy year201281 readings
All 95 readings tagged Walk-forward analysis
Also on Walk-forward analysis5 readings
1996Weekly market breadth as one procedure on an unused window1997Walk-forward validation of a market-breadth timing rule1997A walk-forward check for bond-breadth timing1992Audit mechanical system tests for fills and regimes1993Constructing walk-forward forecasts with linear and moving-average baselines