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1997issue C041-3

Constructing market thrust from breadth and volume

The same advancing and declining issue and volume series can be posted as a headcount running total, a volume-weighted cumulative flow, or a bounded oscillator. Each posting uses a different mix of memory and scaling.

  • A running advance-decline series adds each period's advancing-issue count minus the declining-issue count to the prior total.
  • A market thrust line adds a volume-weighted net of advancing versus declining issues each period and needs four internals inputs.
  • A market-thrust oscillator is that volume-weighted net divided by the volume-weighted total of both sides, and it may be smoothed.
  • Volume scales the breadth contribution because each side's issue count is multiplied by that side's volume before the net is taken.
Entries in this reading3 entries
Current trackOn-balance volume88 readingsMarket breadth147 readingsVolume-price analysis207 readings

What market breadth records

Market breadth is the participation profile of a listed market, taken from how many issues advance or decline and, when available, the volume on each side.

Advancing issues are the count of issues that closed higher in the period. Declining issues are the count of issues that closed lower in the period. Advancing volume is the share volume associated with issues that advanced. Declining volume is the share volume associated with issues that declined.

The advance-decline line

A running advance-decline series is built by adding each period's advancing-issue count minus the declining-issue count to the prior total. That running total is the advance-decline line.

The advance-decline study is specified for a multi-series chart that feeds advancing issues and declining issues as separate inputs. It is a headcount ledger: every issue moves the total by one count, and the series keeps the memory of every prior period.

The market thrust line

A cumulative market-thrust series is built by adding each period's advancing issues times advancing volume, minus declining issues times declining volume, to the prior total. That running total is the market thrust line.

Market-thrust construction requires four internals inputs: advancing issues, declining issues, advancing volume, and declining volume. In the thrust construction, each side's issue count is multiplied by that side's volume before the net is taken, so volume scales the breadth contribution.

That pairing is volume-price analysis: a participation count is combined with its matching volume so that heavier sessions move the measure more than light ones.

On-balance volume is a cumulative signed-volume construction that adds volume on up periods and subtracts it on down periods. Market thrust applies the same running-sum logic to market internals rather than to a single issue.

The market-thrust oscillator

A market-thrust oscillator is the signed volume-weighted net of advances versus declines, divided by the sum of those two volume-weighted terms. It is a same-period ratio and may be smoothed.

One construction plots a 21-period average of the market-thrust oscillator with reference levels at 0.3 and -0.3. Unlike the running lines, this posting does not carry a cumulative ledger from period to period.

The specified workspace

The workspace for these studies is specified with a composite market series plus advancing issues, declining issues, advancing volume, and declining volume. The composite series is the market backdrop. The four internals series are the ledgers that the advance-decline and thrust studies post.

Dow Jones Industrials and the 25-day average, April 1996–February 1997

Traders should see the mid-July 1996 washout to 5183.85 and the climb that followed to the 23 January 1997 high at 6906.22, with the 25-day average staying above that crash and then trailing the advance. The path was read from the WAVE WI$E price pane; only those two extremes and the 5 February last print of 6746.90 come from the chart’s printed header.
Traders should see the mid-July 1996 washout to 5183.85 and the climb that followed to the 23 January 1997 high at 6906.22, with the 25-day average staying above that crash and then trailing the advance. The path was read from the WAVE WI$E price pane; only those two extremes and the 5 February last print of 6746.90 come from the chart’s printed header.DJIA · daily · 1996-04-01T00:00:00.000Z to 1997-02-28T00:00:00.000Z

WAVE WI$E applies Saitta’s five-step momentum method without the four-point filter and overlays a 25-day average of the close. Colored momentum spikes in a separate 0–128 lower pane were omitted because they do not share the price scale. Prices other than the three header prints are approximate readings from the printed grid.

How construction changes the test

Editorial interpretation: A cumulative line keeps every prior period, so the chart can test whether the participation ledger is still expanding or contracting. A same-period oscillator resets each bar, so the chart can test whether the current session's volume-weighted balance is stretched toward one side.

Editorial interpretation: Headcount posting treats every issue equally. Volume weighting lets heavier sessions move the measure more than light ones. Changing memory or scaling is not a cosmetic chart choice. It changes which breadth hypothesis the plot can falsify.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
29 of 61 in the On-balance volume track
19971-4 pp.Next on On-balance volumeConstructing on-balance volume as a signed running totalOn-balance volume adds a session's full volume after an up close and subtracts that volume after a down close.
All readings on this track · 61 readings
  1. 1988Cumulative volume trend and 200-session polarity
  2. 1988Three clocks when cumulative volume led price
  3. 1988Payoff index checkpoints for open interest and divergence
  4. 1988Relative strength, stochastics, and on-balance volume as a turning-point stack
  5. 1988Signing volume by open interest change
  6. 1988Case study: weekly on-balance volume with trendlines and a 21-period average
  7. 1988Combining weekly and daily MACD divergences with on-balance volume
  8. 1988Restoring the original tests for market breadth, on-balance volume, and trendlines
  9. 1989Evaluating volume-weighted breadth extremes
  10. 1989Demand oscillator construction with a momentum overlay
  11. 1989Constructing a volume percentage ratio from advance-decline flow
  12. 1990Constructing net positive volume as On-balance volume
  13. 1990Buying-share scale with on-balance volume
  14. 1990Friday-filtered on-balance confirmation lines
  15. 1991Constructing rate-market volume breadth from on-balance volume
  16. 1991Building a breadth composite from on-balance volume breakouts
  17. 1992Constructing a rate-complex volume-breadth index
  18. 1992Constructing a breadth index from on-balance volume
  19. 1992Constructing signed market thrust from issue volume
  20. 1992Constructing indicator phase across averages, volume and bands
  21. 1993Force on-balance volume to agree with itself at slower horizons
  22. 1993Three transforms of market thrust from breadth and volume
  23. 1994Constructing a tick-line momentum oscillator
  24. 1994Constructing a smoothed on-balance tick momentum oscillator
  25. 1994Histogram confirmation and a second-series veto for MACD-family alerts
  26. 1994Constructing a 40-period envelope on on-balance volume
  27. 1996Constructing a matched percent-B volume disparity
  28. 1997Constructing calendar regime overlays and volume-weighted rules
  29. 1997Constructing market thrust from breadth and volume
  30. 1997Constructing on-balance volume as a signed running total
  31. 1997A three-layer construction for a signed volume-force oscillator
  32. 1997Constructing a range-sum volume-force oscillator
  33. 1999On-balance volume confirmation, price-indicator divergence, and bounded exits
  34. 2000A daily long-only confirmation stack on the tether line
  35. 2000A three-filter tether and volume trend system
  36. 2003Constructing finite volume elements as a finite-period money-flow filter
  37. 2003Constructing on-balance volume from signed session volume
  38. 2003On-balance volume as a market-breadth participation ledger
  39. 2003Construct a volatility-adjusted on-balance volume filter before confirming a breakout
  40. 2004Opening and midday ranges as an on-balance-volume breakout case
  41. 2004Constructing a volatility-gated volume-flow measure
  42. 2004Constructing a volume-flow series from on-balance volume
  43. 2004Volume-flow indicator construction from on-balance volume
  44. 2004Volume-flow slope divergence, then separate on-balance-volume and crossover rules
  45. 2004Volume flow and band construction as one inspectable problem
  46. 2004Auditing advance-decline confirmation for scale, horizon, and composition
  47. 2005Bounded market breadth from the Arms index to BRIN
  48. 2006Overnight-hold entry and exit construction
  49. 2007Evaluating Volume-price confirmation versus On-balance volume and MACD
  50. 2009Volume confirmation versus a price advance
  51. 2010Typeahead retrieval of a moving average, on-balance volume, and a stochastic oscillator
  52. 2010Modified volume-price trend and log-price scale alignment
  53. 2010Constructing liquidity accelerometers from advance-decline averages
  54. 2012Failed short cycles as breadth and volume tests
  55. 2016Earnings straddles, implied volatility, and money-flow filters
  56. 2017A volume residual filter and a price projection matrix
  57. 2019Volume-volatility parabola and signed-volume momentum
  58. 2019Separating on-balance volume into breadth and volume
  59. 2020Constructing the obvm signal line
  60. 2020Constructing smoothed on-balance volume with a signal line
  61. 2020Keep neutrality as a first-class input in three-state market data
By fieldMarket breadth135 readingsBy year199791 readings
All 88 readings tagged On-balance volume
Also on On-balance volume5 readings
1989Evaluating volume-weighted breadth extremes1992Constructing a breadth index from on-balance volume1992Constructing a rate-complex volume-breadth index1992Constructing signed market thrust from issue volume2005Bounded market breadth from the Arms index to BRIN