Constructing signed market thrust from issue volume

Counts, volume, and an unsigned ratio

Market breadth describes how widely buying or selling is participating by pairing daily advancing and declining issue counts with the volume on each side.

The conventional trading index is built as the advancing-to-declining issue ratio divided by the advancing-to-declining volume ratio. A reading of 1.00 on that index is treated as neutral.

How the trading index is averaged

After a 10-day simple moving average, values above 1.20 are treated as oversold and values below 0.80 as overbought.

Opposite daily readings can make a simple average of the index look stretched even when an issue-and-volume-weighted long-term form is neutral. That long-term weighted index first sums advancing issues, declining issues, advancing volume, and declining volume, then forms the same ratio from those totals.

Four classes of internal dynamics

Sessions fall into four internal-dynamics classes by whether issue leadership and volume leadership agree. When they agree, the session is consistent. When they disagree, the session is divergent.

Two days can share the same trading-index reading while one has a 10-to-1 issue ratio and the other only 2-to-1.

A signed oscillator of average volume

A trading oscillator is a signed rewrite of relative average volume, positive when advancing names carry more volume per issue and negative when declining names do. It is bounded by +1 and -1 around a zero balance.

It exceeds +0.5 only when the unsigned index is at or below 0.33, or falls to -0.5 or below only when that index is at or above 3.

Market thrust as a signed product

Volume-price analysis checks whether volume confirms issue leadership by pairing each side of the tape with the volume attached to it, then forming a signed net flow.

Market thrust is the difference between the advancing-issue times advancing-volume product and the declining-issue times declining-volume product, divided by 1,000,000 only as a convenience scale. When the two volumes are equal, market thrust reduces to a scaled advance-minus-decline count.

The thrust oscillator

The thrust oscillator divides that same product difference by the sum of the two products. It ranges from -1 to +1 and reaches +0.5 only when the advancing product is at least three times the declining product.

Upthrust, downdraft, and a running total

Daily thrust can be split into an upthrust product and a downdraft product, then accumulated or averaged. Upthrust is the session product of advancing issues and advancing volume. Downdraft is the session product of declining issues and declining volume.

That split avoids the averaging distortion of the unsigned index and stays consistent with a cumulative advance-decline line. The same cumulative construction used for a running total of signed volume flow can be applied to daily market thrust, so the breadth-volume path can be read as a trend rather than a one-day ratio.

What mixed-tape days can hide

On the worked mixed-tape days, the unsigned index can read neutral, bearish, or overbought while the product-based thrust still shows a one-sided session, a near reversal of equal magnitude such as 980 versus -980, or a dead heat.