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1994issue C031-8

Constructing daily advance-decline breadth tools

Editorial reading: treat the advance-decline series as a classroom instrument rather than a finished overlay. Students build the cumulative line, four staged exponential averages, and two zero-centered oscillators, then write confirmation, support, and overextension rules they can accept or reject against a cash index.

  • A daily advance-decline series is a running total of advancing issues minus declining issues, which may be negative, and is read as a second dimension beside price.
  • Matching highs or simultaneous sideways-range breakouts on the breadth series and a related cash index are treated as confirmation, while an index high without a matching breadth high is a nonconfirmation.
  • Four exponential breadth averages at five, 20, 50, and 200 sessions rank closes and crosses from mild weakness to intermediate-term warnings and short-term or intermediate-term breadth conditions.
  • A twenty-eight-session high, twelve-session momentum, and the five-minus-twenty oscillator add short- to intermediate-term and overextension readings, with extremes taken from the current cycle or from live data.
Entries in this reading3 entries
Current trackMomentum strategy103 readingsMarket breadth120 readingsMoving average449 readings

A classroom instrument

Editorial interpretation: TradersWeek treats the advance-decline series as a classroom instrument rather than a finished overlay. Students build the cumulative line, four staged exponential averages, and two zero-centered oscillators. They then write confirmation, support, and overextension rules they can accept or reject against a cash index.

The advance-decline series

A daily advance-decline series is constructed by subtracting declining issues from advancing issues each session and keeping a running total, which may be negative.

Breadth is used as a second dimension beside price. Many advancing issues are read as widespread demand and inward money flow, while few advancers are read as the opposite.

Confirmation and nonconfirmation

Matching highs on the breadth series and a related cash index are treated as confirmation. An index high without a matching breadth high is treated as a nonconfirmation.

Simultaneous breakouts from sideways ranges on both the breadth series and the related cash index are treated as stronger evidence that a trend is under way.

Four exponential breadth averages

Four exponential averages of the breadth series use smoothing constants 0.333, 0.0952, 0.0392, and 0.00995 for five-, 20-, 50-, and 200-session spans. Each update multiplies the gap from yesterday's average to today's close by the constant and adds that increment to yesterday's average.

Each series is an exponential breadth average: a recursively updated average of the cumulative line that applies a fixed smoothing constant to the gap between today's close and yesterday's average.

Support, resistance, and crosses

Longer averages are treated as more important support or resistance. A close below the five-session average is mild weakness, a close below the 20-session average is greater weakness, and a break of the 50- or 200-session average is an intermediate-term warning.

A five-session average crossing above the 20-session average is classified as a short-term bullish breadth condition and a cross below it as short-term bearish. A 50-session average moving above the 200-session average is classified as intermediate-term bullish and a close below it as intermediate-term bearish.

Highs and zero-centered oscillators

A breadth close at the highest level of the prior 28 trading sessions is a twenty-eight-session high and is classified as a short- to intermediate-term bullish condition.

A 12-session change in the breadth series is twelve-session momentum: a zero-centered reading whose extremes are judged from the current cycle, optionally after a 10-session smooth. One illustrated 1993 window used +2500 and -2500 as reference extremes.

Subtracting the 20-session exponential average from the five-session average yields the five-minus-twenty oscillator. Overbought and oversold extremes for this oscillator must be set from live data because they change with volatility.

Rules that can be accepted or rejected

Editorial interpretation: after the cumulative line, the four averages, and the two oscillators are in place, the confirmation, support, and overextension classifications become statements a student can accept or reject against the related cash index. The archive records the historical workflow. It does not settle those statements.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
17 of 51 in the Momentum strategy track
19941-3 pp.Next on Momentum strategyBuilding a composite regime score from monetary climate and weekly trendA composite-regime-score is one running total: a 0-to-8 monetary-climate-layer plus a two-or-zero weekly trend score, so the combined reading can run from 0 to 10.
All readings on this track · 51 readings
  1. 1984Half-cycle differencing for momentum signals
  2. 1987Relative strength evaluation under competing optimization criteria
  3. 1988Weekly MACD as a two-clock momentum confirmation stack
  4. 1989Equal-weight zero-cross from smoothed spreads
  5. 1989Testing relative-strength-index reversal rules against trend continuation
  6. 1989Smoothed three-day futures filter for index option bounces
  7. 1989Cycle-length windows for momentum, Relative Strength Index, and stochastic construction
  8. 1991Filtered rally magnitude as a bull-regime breakout
  9. 1992Constructing true strength from double-smoothed momentum
  10. 1992Constructing a double-smoothed true strength index
  11. 1993When momentum structure and breadth break together
  12. 1993Constructing double-smoothed range and momentum oscillators
  13. 1993Constructing a two-parameter relative momentum index
  14. 1993Building a bounded momentum oscillator with RSI smoothing
  15. 1993Two-speed oscillators with divergence and trendline gates
  16. 1993Constructing a relative momentum index from the relative strength index
  17. 1994Constructing daily advance-decline breadth tools
  18. 1994Building a composite regime score from monetary climate and weekly trend
  19. 1994Averaging Relative Strength Index and the stochastic oscillator into one reversal oscillator
  20. 1995Dividend-yield regression as a hold versus momentum gate
  21. 1996Jump and hold filters for long-term Treasury yield direction
  22. 1997Constructing extendedness from a 10 percent swing filter
  23. 1997A range-expansion oscillator that can refuse its own stretch
  24. 1997RSI trend permission and Fibonacci pullback rules
  25. 1998Nested midpoint construction for a range-normalized oscillator
  26. 1999Evaluating Relative Strength Index momentum with zero-line and threshold rules
  27. 1999Treat RSI and momentum as three mechanical procedures
  28. 2000Thrust strength figure from moving-average swings
  29. 2001Constructing a non-range-bound balance of market power score
  30. 2004Cleaned breadth oscillator and new-high divergence: a swing-market case file
  31. 2004Evaluating advance-issues-momentum on a fixed-symbol-basket
  32. 2004Constructing a trend filter from two adjacent high-low windows
  33. 2006A dollar-versus-commodity extreme as a regime case
  34. 2008Zero-centered stochastic bands and bracket stops
  35. 2012Evaluating engulfing momentum across hold windows
  36. 2012Staged stops as one mechanical entry and exit procedure
  37. 2012Stacking a relative-strength-index forecast, a trend filter, and long-only momentum
  38. 2013Constructing fair-value filters from averages and momentum
  39. 2014Constructing a multi-window slope divergence entry
  40. 2015Bandedge trend filter construction with inverse crossover rules
  41. 2017Opposite rules for index price and volatility momentum
  42. 2018A three-state overlay that colors a trend only after the line clears the bar
  43. 2018Half-cycle relative-strength index with a Fisher map for cyclic reversals
  44. 2018Emotion as a rule input when momentum breaks
  45. 2018Two-bar body expansion as a momentum breakout construction
  46. 2019Pair a two-day high breakout with a volume-weighted exit on the same chart
  47. 2020Building reflex and trendflex cross and extreme entry rules
  48. 2020Construct a dual-series price momentum oscillator overlay
  49. 2020A multi-timeframe stochastic as a panel of weekly voters
  50. 2020Centerline crossovers that compare index momentums
  51. 2020Multi-timeframe stochastic voting as one mechanical rule
By fieldMarket breadth101 readingsBy year199483 readings
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