Cumulative advance-decline versus a one-year average

A paired series and a state threshold

A charted construction pairs a cumulative percent advance-decline series with a one-year simple moving average of that same series. The cumulative advance-decline series is a running total of a scaled daily ratio that compares advancing issues with declining issues. The breadth moving average is a simple average of that series over a stated lookback length, and it is the threshold that marks a long or flat state.

How the cumulative series is computed

On each bar the increment is an advance-decline percent change: the session difference between advancing and declining counts, divided by their combined total, then multiplied by a fixed scale factor. Computing that running total requires separate issue-count feeds for advancing issues and declining issues, aligned bar-for-bar with the market being timed. Those stream numbers can be specified.

One script scales the daily advance-decline percent change by 1,000, adds the scaled value only when it is not missing, and averages the resulting cumulative series over a default length of 252 bars.

The same scaled daily advancer-decliner percent change that some short-horizon breadth oscillators double-smooth is here accumulated first and then passed through a one-year simple moving average.

The long-or-flat crossover

One coded strategy enters long when the cumulative series crosses above its moving average and exits the long, without opening a short, when the series crosses back below. One script places a buy when the cumulative series is above its average and a sell-to-close when the series is below its average.

One mechanical procedure stays long while the cumulative line is above its moving average and exits when the line is below. Users can set the averaging length and the share of equity per trade. One sensitivity run steps that length from 50 to 300 bars in increments of 5.

What has to be named first

A cumulative series can take different later values depending on the bar chosen as the accumulation start. That path dependence is one reason an alternative implementation averages a built-in advance-decline line instead.

Coded lookbacks presented as a one-year average of the cumulative series include 252, 254, 256, and 260 bars. The same breadth formula can be built on a custom portfolio rather than a single exchange-wide list, and changing the simple-moving-average period changes the intended horizon.

Editorial: Until lookback length, accumulation start, and issue-count feeds are stated, including whether the list is exchange-wide or a custom portfolio, the long-or-flat crossover is not a fully specified research object.