Skip to main content
Track Market breadth
64 / 71
Search the archiveLibrary
Library

2004issue C091-3

Constructing the McClellan oscillator and summation index

An exchange-wide breadth oscillator is the gap between a faster and a slower exponential average of net advances. Accumulating those daily residuals produces a summation index whose published numeric tripwires are construction choices that can be recomputed and tested.

  • The McClellan oscillator is an exchange-wide market-breadth measure built from net advances, not from the price of any single listed security.
  • The oscillator equals the 10 percent exponential average of net advances minus the 5 percent exponential average of the same series, also described as a 19-day exponential average minus a 39-day exponential average.
  • Conventional construction treats readings above +100 as overbought and readings below -100 as oversold, with directional signals defined as a move from oversold into positive territory or from overbought into negative territory.
  • The summation index is a running total of daily oscillator readings, recentered so +1000 reads as neutral, with a conventional end-of-decline reference at -1200 and a later confirmation threshold at +2000.
Entries in this reading3 entries
Exponential smoothing117 readingsCurrent trackMarket breadth120 readingsMoving average449 readings

An exchange-wide residual, not a single-stock chart

The McClellan oscillator is an exchange-wide market-breadth measure. It is built from the smoothed gap between advancing and declining issues and is not computed from any single listed security.

Daily market breadth is the daily gap between how many listed issues rose and how many fell on an exchange. In this construction that gap is recorded as net advances: advancing issues minus declining issues. Net advances are the raw input series for both the oscillator and the companion summation index.

Two exponential averages of net advances

Exponential moving averages are used to smooth the net-advance series. An exponential moving average is a recursive smoother that applies a constant weight to the newest observation and the remainder to the prior average. The smoothing constant is the percentage weight given to the latest net-advance reading when the average is updated, which assigns greater weight to the newest observation.

The oscillator equals the 10 percent exponential average of net advances minus the 5 percent exponential average of the same series. The same residual is also described as a 19-day exponential average minus a 39-day exponential average.

Overbought and oversold crossings

Conventional construction treats oscillator readings above +100 as overbought and readings below -100 as oversold. The overbought threshold is that conventional ceiling, used to mark unusually one-sided advance strength. The oversold threshold is the conventional floor, used to mark unusually one-sided decline strength.

The published crossing rules treat a move from the oversold region into positive territory, and a move from the overbought region into negative territory, as the oscillator's directional signals.

Accumulating the daily residual

The companion summation index is a cumulative total of daily oscillator readings. It can be updated by adding the latest oscillator value to the previous index value.

An alternative closed-form construction subtracts ten times the 10 percent trend plus twenty times the 5 percent trend from the oscillator and then adds 1000, placing the neutral reading at +1000. The construction assigns -1200 as a conventional end-of-decline reference on the summation index and treats a later climb through +2000 as a confirmation threshold for an unusually strong rebound.

McClellan summation index crossing the +2000 tripwire

Traders should watch the May–June 2004 turn: the running total of daily McClellan oscillator readings fell from a January peak near 7800 to a May trough just above 1000, then climbed back through the +2000 confirmation level the article treats as a possible new-bull signal. The path was read off the published Figure 2 curve under the S&P 500, not from a table, so the levels are approximate.
Traders should watch the May–June 2004 turn: the running total of daily McClellan oscillator readings fell from a January peak near 7800 to a May trough just above 1000, then climbed back through the +2000 confirmation level the article treats as a possible new-bull signal. The path was read off the published Figure 2 curve under the S&P 500, not from a table, so the levels are approximate.NYSE breadth (McClellan summation) · Daily · 2003-09-01T00:00:00.000Z to 2004-06-30T00:00:00.000Z

Oscillator is the 10 percent EMA of NYSE net advances minus the 5 percent EMA. The source gives two summation recipes; the plotted scale matches a cumulative daily residual. Neutrality is stated at +1000; −1200 is cited as a typical bear-market ending reading but sits off the bottom of this window. Expect roughly 100–200 index points of raster uncertainty.

The same counts on other listings

The same construction can be applied to any market's advance-decline counts even though the usual illustration uses a broad exchange listing.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
64 of 71 in the Market breadth track
20051-6 pp.Next on Market breadthIntraday index-futures divergence as a three-part session hypothesisA buy or sell is defined only after session momentum prints an extreme that price does not confirm, and the trade is taken only after that stochastic turns.
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 year2004107 readings
All 120 readings tagged Market breadth
Also on Market breadth5 readings
1989Constructing a weekly block-tick breadth z-scoreExponential smoothing1994Constructing a two-speed advance-decline oscillator and a calibrated summationExponential smoothing1994Constructing calibrated market-breadth summation indexesExponential smoothing1989Constructing a dual-rate advance-decline oscillatorExponential smoothing1989Normalize advance-decline series for a common-scale comparisonExponential smoothing