Constructing volume-split and advance-decline breadth signals

Build internals as an assembly sequence

The archive workflow builds internals in a fixed order. First it confirms swing extremes and compares them with an oscillator. Next it splits daily percent price change by whether volume contracted or expanded versus the prior session. Last it can smooth advancing issues minus declining issues into one market-breadth series.

Confirm which extremes count

After a swing high is confirmed, the peak constructor compares the latest price-peak change, scaled by the high-low range of those peaks, with the matching oscillator-peak change scaled by its own range. That comparison is peak-divergence.

The trough constructor confirms swing lows and subtracts the normalized price-trough change from the normalized oscillator-trough change before applying the same scaling step. That comparison is trough-divergence.

Both constructors take a peak-strength count for how many bars must flank an extreme and an oscillator series as the comparison input. If either local range is zero, the prior reading is carried forward.

Replace bar-count strength with a zigzag-filter

A zigzag-filter that keeps only highs and lows separated by a minimum price or percent distance can replace bar-count peak-strength. Raising that distance retains fewer extremes.

Form a bounded divergence-index

Once the last two peaks and the range between them are identified on both price and the oscillator, the peak reading is fifty times the difference of those two normalized ratios. The divergence-index is described as ranging between -100 and 100.

Split which sessions update which running total

A negative-volume-index accumulates daily percent price change only on sessions when volume is lower than the prior session. A matching positive-volume-index accumulates the same percent price change only when volume is higher than the prior session.

A one-year average crossover is offered as one long-horizon reading rule for those volume-split series.

On-balance-volume is a signed-volume accumulation pattern in the same construction family as volume-split price totals, assigning volume according to the direction of price change.

Smooth net advances into one series

Market-breadth is net participation measured from advancing versus declining issues, then optionally smoothed into a single series. A smoothed-advance-decline series is constructed as a seven-day average of advancing issues minus declining issues. After that step, overbought and oversold zones are treated as levels to be measured rather than assumed.