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1994issue C011-5

Three-horizon construction of the Haurlan index

The Haurlan index is an exponential moving average of NYSE daily advancing issues minus declining issues. The archive assigns each track its own smoothing constant, stabilization period, and read rule. Editorial framing treats that split as a construction lab on one locked daily-breadth input.

  • The Haurlan index is an exponential moving average of one NYSE daily-breadth series, advancing issues minus declining issues.
  • The short-term, intermediate-term, and long-term tracks keep that input fixed and differ by the 0.5, 0.1, and 0.01 smoothing constants and by their stabilization periods.
  • After warmup, the archive reads the short-term track with a two-session zero-line polarity test, the faster tracks with fixed extreme bands, and the long-term track with trendline breaks or negative divergence.
  • Editorial reading: those decision rules belong to their tracks. They are not interchangeable views of one breadth line.
Entries in this reading3 entries
Current trackMarket breadth120 readingsPrice-indicator divergence142 readingsMoving average449 readings

The locked daily-breadth input

The Haurlan index is an exponential moving average of daily advancing issues minus declining issues, computed from NYSE session breadth. Daily breadth is that session count. The short-term track, the intermediate-term track, and the long-term track are three exponential moving averages of the same daily-breadth series.

Smoothing constants and stabilization periods

The short-term track equals yesterday's value plus 0.5 times the gap to today's breadth, which is the same as averaging yesterday's index with today's breadth. A newly started short-term series uses a 3-session stabilization period before the track is treated as usable.

The intermediate-term track uses a 0.1 smoothing constant and a 20-session stabilization period.

The long-term track uses a 0.01 smoothing constant and a 200-session stabilization period, or it may be started at a value of 50 to skip that warmup.

Ranges after the stabilization period

After the stabilization period, the short-term track typically stays between +1000 and -1000. The intermediate-term track typically stays between +300 and -300. The long-term track oscillates less and tends to follow the market in the manner of a cumulative advance-decline line.

Decision rules that stay with each track

A basic zero-line polarity rule treats a rise through zero as a buy-side condition and a fall through zero as a sell-side condition. On the short-term track the reading must remain on the new side of zero for two sessions.

Extreme-band rules mark the short-term track at -550 and +550, and the intermediate-term track at -200 and +200, as stretched low and high breadth levels.

The long-term track is read with trendline breaks rather than those extreme bands. A market high that is not matched by a new high on that slow track is treated as negative divergence.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
37 of 71 in the Market breadth track
19941-8 pp.Next on Market breadthChecklist-gated session entry in 1993 index futuresDecision confluence treated the 23 November 1993 index-futures long as a same-session decision that could not be placed until monthly, weekly, daily, and intraday conditions agreed.
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 year199483 readings
All 120 readings tagged Market breadth
Also on Market breadth5 readings
1988Diagnosing index tops with breadth divergences1988Diagnosing market bottoms with breadth, divergence and averages1991A peak-sequence test from the new-highs-to-advances-ratio1993Constructing breadth momentum from advance-decline smoothing2000Constructing an advance-decline oscillator from one listed tape