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1991issue C041

From daily breadth tallies to a weighted consensus signal

The historical workflow starts from six daily tape counts, builds signed breadth pressure, keeps an exponentially smoothed advance/decline slope as a second baseline, and scores twenty overlapping rules into one consensus figure. Editorial reading: treat that figure as a falsifiable chart hypothesis, not as a single-ratio call.

  • Market breadth here is the six daily tape counts of new highs, new lows, advances, declines, advancing volume, and declining volume, not a finished ratio on its own.
  • A volume-weighted breadth ratio and an inverted companion become signed breadth pressure, meant to be largely positive in bullish sessions and largely negative in bearish sessions.
  • Exponential smoothing with a constant of 0.4 is applied to the advance/decline-line slope so that slope can sit beside the pressure series as a second baseline.
  • Twenty rules receive computational-fuzzification grades and a rule weight between +1 and -1; the consensus score is the sum of each fired rule's membership grade times its weight.
Entries in this reading2 entries
Exponential smoothing117 readingsCurrent trackMarket breadth120 readings

Start from the daily tape counts

The archive workflow does not begin with a finished breadth ratio. It starts from six daily tape counts: new highs, new lows, advances, declines, advancing volume, and declining volume. Those counts are the raw market-breadth structure. Later steps turn them into two series and then into a scored consensus.

TradersWeek editorial interpretation sits outside that workflow: keep the daily print as input, and treat the finished consensus as a falsifiable chart hypothesis rather than as a single-ratio call.

From counts to two ratios

A standard volume-weighted breadth ratio multiplies advances by declining volume and divides by the product of declines and advancing volume. The archive reading is below 1 in a rising session and above 1 in a falling session.

An inverted companion ratio multiplies advances by advancing volume and divides by the product of declines and declining volume. That companion sits near 0 when the standard ratio exceeds 1, and it exceeds 1 when the standard ratio is below 1.

Signed pressure and a smoothed slope

Subtracting the reciprocal of the companion ratio from the companion itself produces signed breadth pressure. The series is meant to be largely positive in bullish sessions and largely negative in bearish sessions.

A second series is the advance/decline-line slope after exponential smoothing with a constant of 0.4. Exponential smoothing here is a recursive average that applies that fixed constant to the newest observation so the slope can be compared on a defined sampling interval.

Rules, memberships, and a consensus score

Those statistics are interpreted through a knowledge base of 20 rules that encode standard readings of the same breadth information.

Crisp inputs are mapped by computational fuzzification onto seven primary fuzzy memberships from positive-big through negative-big, including a zero band. The mapping is computed rather than read from lookup tables of membership values. Composite memberships such as any, positive, negative, and selected logical combinations are derived from those seven primary memberships.

Each rule may carry a rule weight between +1 and -1. A weight of +1 marks a rule treated as fully forecast-capable. A weight of 0 marks a rule treated as having no forecast content. Positive weights mark bullish advice. Negative weights mark bearish advice.

A consensus score is the sum of each fired rule's fulfilment score, defined as that rule's membership grade times its weight.

Editorial reading: the overlapping memberships and signed weights are what turn the chart condition into a hypothesis that can be checked. A single volume-weighted breadth ratio is only one input to that check.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
20 of 71 in the Market breadth track
19911-5 pp.Next on Market breadthRetesting market-breadth when market structure changesMarket-breadth is a checkable stand-in for how widely buying or selling participates across the tape, not a narrative about price alone.
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 year199198 readings
All 120 readings tagged Market breadth
Also on Market breadth5 readings
1989Constructing a dual-rate advance-decline oscillatorExponential smoothing1989Constructing a weekly block-tick breadth z-scoreExponential smoothing1989Normalize advance-decline series for a common-scale comparisonExponential smoothing1990Evaluating member versus odd-lot breadthExponential smoothing1990Weekly advance-decline oscillator: weight map, extremes, and spike cycleExponential smoothing