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1995issue C051-3

Constructing breadth ratio gates after lookback drawdowns

A close-based market-breadth construction stores a lookback-high, turns on a drawdown-gate after a set close drop, then allows interchangeable buy-side ratio tests. After a new-high-state, a new-low-confirmation-window and one decline-side test complete a triple-test-exit.

  • A 252-bar lookback-high is stored, and the drawdown-gate turns on when the close falls below that high by 0.09 times the high. Buy-side tests are evaluated only while that gate is on.
  • While the drawdown-gate is on, one advance-decline-multiple needs a two-bar double plus a five-times spike, another needs 1.75 times on at least three of four bars, and a breadth-volume-multiple needs a nine-times advance-volume bar after two prior bars fail the reverse comparison.
  • A paired-gate-entry records a close-based long when the drawdown-gate is paired with any one remaining buy-side test. A successful buy-side ratio test then clears the drawdown-gate. A separate long path records when the high reaches 1.02 times the stored new-high price.
  • A triple-test-exit records a close-based exit only when the new-high-state, the new-low-confirmation-window, and one additional decline-side ratio or volume test are all true, after which those flags are cleared.
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Current trackMarket breadth120 readings

The lookback-high and the drawdown-gate

The construction stores a lookback-high as the highest high over 252 bars. A drawdown-gate is set when the close falls below that high by 0.09 times the high. Buy-side tests are evaluated only while the drawdown-gate is on.

A new-high event is marked when the current high exceeds the previous lookback-high. The event price is stored, and a retained new-high-state is set. Sell-side tests are allowed to fire only after that retained state is present.

Buy-side tests while the drawdown-gate is on

While the drawdown-gate is on, one advance-decline-multiple requires advancing issues at least twice declining issues on two consecutive bars, and at least five times declining issues on one of those bars.

A second advance-decline-multiple requires advancing issues above 1.75 times declining issues on at least three of the last four bars.

A breadth-volume-multiple requires advancing volume at least nine times declining volume on the current bar, after two prior bars fail the reverse nine-times comparison.

The new-high-state and decline-side tests

After a retained new-high-state, a new-low-confirmation-window covers the current bar and the prior seven bars. The window checks whether new lows exceed new highs, either after a recent new-high event or on the new-high bar itself.

Decline-side tests then mirror the buy-side multiples. One advance-decline-multiple requires declines at least twice advances on two bars with a five-times spike. Another requires declines above 1.75 times advances on at least three of four bars. A breadth-volume-multiple requires declining volume more than nine times advancing volume.

Paired-gate-entry and triple-test-exit

A paired-gate-entry records a close-based long signal when the drawdown-gate is paired with any one remaining buy-side test. A separate close-based long signal is recorded when the high reaches 1.02 times the stored new-high price. Any successful buy-side ratio test then clears the drawdown-gate.

A triple-test-exit records a close-based exit only when the retained new-high-state, the new-low-confirmation-window, and one additional decline-side ratio or volume test are all true. Those flags are then cleared.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
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19951-2 pp.Next on Market breadthBuilding a short-range breadth and price oscillatorThe short-range oscillator is the simple average of the recentered breadth residual and the smoothed price residual.
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 year199575 readings
All 120 readings tagged Market breadth
Also on Market breadth5 readings
1986Evaluating advance-decline plus-day runs against chance baselines1987How a failed rebound, weak breadth, and cycle dates broke the 1987 bull case1988Constructing an advance-decline divergence oscillator1988Constructing breadth and average trend states1988Constructing industry-group breadth and rotation measures