A same-session pressure test of breadth and volume share

The reading that checks volume share

The archive calculates the breadth-volume reading as the advancing-to-declining issue ratio divided by the advancing-to-declining volume ratio. That single figure is used to ask whether rising names are receiving a proportionate share of traded volume.

Volume share is a different question from the raw advance-decline count. A reading of 1.00 is treated as the equilibrium reading, a standoff in which advancing and declining stocks receive volume in proportion to their counts. Values below 1.00 indicate advancing stocks are receiving more than their share of volume. Values above 1.00 indicate declining stocks are.

A session that looked one-sided

In the worked session example, 445 advancing issues versus 837 declining issues and advancing volume of 17892400 versus declining volume of 35374000 produced a reading of 1.05. The session sat near equilibrium even though declining issues outnumbered advancing issues by about two to one.

What daily closes usually showed

Across about six months of daily closes, most readings stayed near 1.00, with about 10 percent abnormally high and about 10 percent abnormally low. One day's close carried little information about the next day's close.

The normal zone against the index

A one-year scatter of S&P 500 net change against the same-day reading formed a dense normal band from the upper left, where prices were up and the reading was low, to the lower right, where prices were down and the reading was high. That dense historical cluster is the normal zone.

When a live pairing sits inside that band, later observations are described as tending to travel along the band's axis. When a pairing leaves the band, later action is described as tending to return toward it.

When the reading moves first

The reading is described as often changing before the market. A plot can move horizontally as the ratio shifts and only later vertically as the index follows. That short-horizon sequence is a leading horizontal move.

Direction and speed of change in the reading are treated as more informative than its absolute level. A rapid rise is described as a warning of a downward price swing, and a rapid fall as a warning of a rise.

The same watch on the tick tape

The same short-horizon watch is paired with the tape of upticks and downticks. Rapid joint changes, rather than static levels, are used to time both same-day decisions and the entry hour of positions that may be held for weeks. That running count of stocks whose latest print is an uptick or a downtick is the tick tape.