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2004issue C081-5

Evaluating advance-issues-momentum on a fixed-symbol-basket

Broad-market-advancing-issues are treated as a whole-market breadth reading, yet they are unbounded and their membership can change. Advance-issues-momentum replaces that open tape with a range-capped headcount on a fixed-symbol-basket, so turning-point-confirmation can be written as one mirrored long and short procedure and checked as a mechanical-bias-test.

  • Broad-market-advancing-issues have no fixed membership and no upper bound, which the write-up flags as especially awkward for systematic end-of-day use.
  • Advance-issues-momentum is the daily headcount of names in a fixed-symbol-basket whose n-day-momentum is positive, so overbought and oversold zones can be stated as stable thresholds.
  • The worked example counted the 30 industrial-average constituents on a 20-day lookback and plotted that reading against a related large-cap index future that was excluded from the tally.
  • The long and short turning-point-confirmation rules were mirrors, and the archive inspected them with an always-in-market mechanical-bias-test rather than as a complete execution system.
Entries in this reading3 entries
Current trackMomentum strategy103 readingsMarket breadth120 readingsMechanical trading system158 readings

Why exchange-wide advancing issues are awkward to systematize

Exchange-wide advancing-issue totals are treated as a whole-market breadth reading. They are unbounded, and their membership can change. The write-up flags that combination as especially awkward for systematic end-of-day use.

That open series is broad-market-advancing-issues: the exchange-wide daily total of issues that closed higher, with no fixed membership and no upper bound.

How the replacement count is built

Advance-issues-momentum replaces that open-ended tape count with the number of names in a predetermined basket that have positive n-day close-to-close momentum. N-day-momentum is the latest close minus the close n trading sessions earlier.

An issue is counted as advancing only when the latest close is above the close n sessions earlier. The indicator is that daily headcount, with a second parameter that can drop specified symbols from the tally.

The worked example used the 30 industrial-average constituents as the fixed-symbol-basket and plotted a 20-day lookback against a related large-cap index future. That future was excluded from the count. A fixed-symbol-basket is a predetermined roster chosen to represent the market of the timed instrument so the breadth count has a stable maximum.

What a fixed roster changes on the chart

Because the roster size is fixed, the count is range-bounded. Overbought and oversold zones can be stated as stable thresholds. A separate declining-issue series is unnecessary, and double-top or double-bottom comparisons are less ambiguous than on an unbounded exchange total.

Chart extremes in the 20-day series were described as often lining up with important turns, especially after the count had run to an extreme and then reversed. One cited sequence moved from a reading below 5 to the 30 ceiling in August 2002 before a later decline.

How the turning-point rules were written and checked

Turning-point-confirmation is consecutive breadth moves in one direction followed by a small reversal that stays inside a stated band. The long pattern required two successive declines, then an uptick that stayed below 20 and rose by fewer than 5 points. The short pattern was the mirror image and required the reading to stay above 10.

The evaluation procedure stayed in the market at all times with one contract, used no stops and no commissions, and covered 1 January 1998 through 30 May 2003. That setup is a mechanical-bias-test: an always-in-market long and short rule set used to ask whether a pattern has directional lean, not whether a complete execution system has been specified.

Dow-30 AIM bias test: closed-net-profit percent by book

The System Performance Viewer table prints buy-and-hold down 2.09 percent while the mirrored AIM long book closed up 344.50 percent, the short book up 397.00 percent, and the combined book up 741.50 percent. That is the mechanical-bias result a trader is meant to see: the same always-in, one-contract test that left the underlying nearly unchanged still posted a large closed-profit spread versus sitting still. Figures are the Close Net Profit % row as printed, not a reading off the equity plot.
The System Performance Viewer table prints buy-and-hold down 2.09 percent while the mirrored AIM long book closed up 344.50 percent, the short book up 397.00 percent, and the combined book up 741.50 percent. That is the mechanical-bias result a trader is meant to see: the same always-in, one-contract test that left the underlying nearly unchanged still posted a large closed-profit spread versus sitting still. Figures are the Close Net Profit % row as printed, not a reading off the equity plot.E-mini S&P 500 · Daily · 1998-01-01T00:00:00.000Z to 2003-05-30T00:00:00.000Z

Source test window is January 1, 1998 through May 30, 2003 on one e-mini S&P contract, no stops, no commissions, always in the market. Combined closed net profit of $74,150.00 plus open-position P/L of -$4,912.50 equals the $69,237.50 total profit stated in the article.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
31 of 51 in the Momentum strategy track
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All readings on this track · 51 readings
  1. 1984Half-cycle differencing for momentum signals
  2. 1987Relative strength evaluation under competing optimization criteria
  3. 1988Weekly MACD as a two-clock momentum confirmation stack
  4. 1989Equal-weight zero-cross from smoothed spreads
  5. 1989Testing relative-strength-index reversal rules against trend continuation
  6. 1989Smoothed three-day futures filter for index option bounces
  7. 1989Cycle-length windows for momentum, Relative Strength Index, and stochastic construction
  8. 1991Filtered rally magnitude as a bull-regime breakout
  9. 1992Constructing true strength from double-smoothed momentum
  10. 1992Constructing a double-smoothed true strength index
  11. 1993When momentum structure and breadth break together
  12. 1993Constructing double-smoothed range and momentum oscillators
  13. 1993Constructing a two-parameter relative momentum index
  14. 1993Building a bounded momentum oscillator with RSI smoothing
  15. 1993Two-speed oscillators with divergence and trendline gates
  16. 1993Constructing a relative momentum index from the relative strength index
  17. 1994Constructing daily advance-decline breadth tools
  18. 1994Building a composite regime score from monetary climate and weekly trend
  19. 1994Averaging Relative Strength Index and the stochastic oscillator into one reversal oscillator
  20. 1995Dividend-yield regression as a hold versus momentum gate
  21. 1996Jump and hold filters for long-term Treasury yield direction
  22. 1997Constructing extendedness from a 10 percent swing filter
  23. 1997A range-expansion oscillator that can refuse its own stretch
  24. 1997RSI trend permission and Fibonacci pullback rules
  25. 1998Nested midpoint construction for a range-normalized oscillator
  26. 1999Evaluating Relative Strength Index momentum with zero-line and threshold rules
  27. 1999Treat RSI and momentum as three mechanical procedures
  28. 2000Thrust strength figure from moving-average swings
  29. 2001Constructing a non-range-bound balance of market power score
  30. 2004Cleaned breadth oscillator and new-high divergence: a swing-market case file
  31. 2004Evaluating advance-issues-momentum on a fixed-symbol-basket
  32. 2004Constructing a trend filter from two adjacent high-low windows
  33. 2006A dollar-versus-commodity extreme as a regime case
  34. 2008Zero-centered stochastic bands and bracket stops
  35. 2012Evaluating engulfing momentum across hold windows
  36. 2012Staged stops as one mechanical entry and exit procedure
  37. 2012Stacking a relative-strength-index forecast, a trend filter, and long-only momentum
  38. 2013Constructing fair-value filters from averages and momentum
  39. 2014Constructing a multi-window slope divergence entry
  40. 2015Bandedge trend filter construction with inverse crossover rules
  41. 2017Opposite rules for index price and volatility momentum
  42. 2018A three-state overlay that colors a trend only after the line clears the bar
  43. 2018Half-cycle relative-strength index with a Fisher map for cyclic reversals
  44. 2018Emotion as a rule input when momentum breaks
  45. 2018Two-bar body expansion as a momentum breakout construction
  46. 2019Pair a two-day high breakout with a volume-weighted exit on the same chart
  47. 2020Building reflex and trendflex cross and extreme entry rules
  48. 2020Construct a dual-series price momentum oscillator overlay
  49. 2020A multi-timeframe stochastic as a panel of weekly voters
  50. 2020Centerline crossovers that compare index momentums
  51. 2020Multi-timeframe stochastic voting as one mechanical rule
By fieldMarket breadth101 readingsBy year2004107 readings
All 103 readings tagged Momentum strategy
Also on Momentum strategy5 readings
1993When momentum structure and breadth break together1994Constructing daily advance-decline breadth tools2001Constructing a non-range-bound balance of market power score2004Cleaned breadth oscillator and new-high divergence: a swing-market case file1993Constructing a two-parameter relative momentum index