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1997issue C011-9

Daily advance-decline and new-high new-low breadth signals

A daily market-breadth workflow smooths and range-normalizes advances, declines, new highs, and new lows, then allows a long or short hypothesis only when several independent strength conditions agree. The archive frames that daily construction as a more responsive version of weekly breadth timing, judged by clustered turning-point conditions rather than by a single raw count.

  • The daily construction keeps weekly breadth timing while aiming to reduce the wait between weekly signals and to avoid holiday-week distortions in new-high and new-low counts.
  • Raw NYSE advances, declines, new highs, and new lows are exponentially smoothed and mapped onto a shared plus-50 to minus-50 strength scale so unlike counts can be compared.
  • A buy hypothesis needs relative advance/decline strength at or above a threshold, weak new-low strength, and strong new-high strength. Sell logic reverses those three conditions.
  • Evaluation varies the new-low and new-high strength thresholds and reports net points, win rates, profit factor, trade count, and maximum drawdown so each parameter set can be checked.
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Current trackMarket breadth120 readings

Why the daily construction exists

The archive presents a daily market-breadth system as a way to keep weekly breadth timing while reducing exposure to adverse moves and lost opportunity between weekly signals. A second motive is to avoid holiday-week distortions in weekly new-high and new-low counts.

The daily construction is presented as more responsive than the earlier weekly breadth system. It is still judged by whether clustered breadth conditions mark turning points, not by a single raw count.

Inputs, smoothing, and the shared scale

Inputs include daily NYSE advancing and declining issues, daily NYSE 52-week new highs and new lows, and a DJIA close. A derived advance/decline ratio is formed as advancers minus decliners, divided by advancers plus decliners.

Raw series are exponentially smoothed, then converted with a strength transform that maps each series onto a plus-50 to minus-50 scale relative to its lookback range. Unlike counts can then be compared on the same footing.

Three conditions that must agree

A relative-strength difference is formed by subtracting DJIA strength from advance/decline-ratio strength. That difference is used with new-low strength and new-high strength as the three comparable conditions in the signal rules.

A buy hypothesis requires relative advance/decline strength at or above a threshold, weak new-low strength, and strong new-high strength. Sell logic is the opposite of those three conditions.

S&P 500 daily close, February 1985 to November 1988

Approximate monthly readings of the daily S&P 500 close taken from the TradeStation window. A trader should see the 1985–87 advance, the August 1987 top near 336, and the October break into the low 220s — the stretch that tests whether the three daily-breadth conditions stepped aside before the crash.
Approximate monthly readings of the daily S&P 500 close taken from the TradeStation window. A trader should see the 1985–87 advance, the August 1987 top near 336, and the October break into the low 220s — the stretch that tests whether the three daily-breadth conditions stepped aside before the crash.S&P 500 · daily · 1985-02-01T00:00:00.000Z to 1988-11-30T00:00:00.000Z

Points are visual samples of a daily close line on a printed 180–330 scale, not official settlements. The window is the article’s ADRrs-NH-NL workspace (5x ADNHNL, daily 1978–96) with Brs=4, Srs=-40, xdays=10.

What the evaluation grid checks

The evaluation grid varies buy and sell thresholds for new-low and new-high strength. It reports net points, win rates, profit factor, trade count, and maximum drawdown as the checkable outputs of each parameter set.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
55 of 71 in the Market breadth track
19991-6 pp.Next on Market breadthIndex-fund positions as a majority-vote committeeThe procedure trades an index-fund vehicle that tracks the S&P 500 rather than a basket of individual stocks.
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 year199756 readings
All 120 readings tagged Market breadth
Also on Market breadth5 readings
1986Evaluating advance-decline plus-day runs against chance baselines1987How a failed rebound, weak breadth, and cycle dates broke the 1987 bull case1988Constructing an advance-decline divergence oscillator1988Constructing breadth and average trend states1988Constructing industry-group breadth and rotation measures