Skip to main content
Track Market breadth
58 / 71
Search the archiveLibrary
Library

2000issue C111-6

Constructing an advance-decline oscillator from one listed tape

A capitalization-weighted index can rise while only a few constituents advance. This article follows one advance-decline tape through a cumulative total, a two-speed oscillator, a simple overlay, and a slower summation so participation can be compared with the index.

  • Capitalization-weighted indexes can rise while only a few constituents advance, so market-breadth series are built to picture participation across the full list.
  • A two-speed-breadth-oscillator is the 19-period exponential average of the advance-decline-difference minus the 39-period average, and it is read at an overbought-oversold-band extreme, on price-indicator-divergence, and at a midpoint-cross.
  • Daily advance-decline-difference values serve short-horizon momentum, weekly values serve a longer horizon, and a 10-day simple moving average of the same difference can overlay the oscillator.
  • A breadth-summation-index adds each oscillator reading to the prior total, and a ratio-adjusted-breadth input is read against major-bottom and major-top chart contexts when price diverges.
Entries in this reading3 entries
Current trackMarket breadth120 readingsPrice-indicator divergence142 readingsMoving average449 readings

Why participation is built as its own series

Capitalization-weighted indexes can rise while only a few constituents advance, so market-breadth series are built to picture participation across the full list rather than how the capitalization-weighted index is moving.

The three usual listed-market breadth characterizations are advances versus declines, up versus down volume, and new highs versus new lows. The constructions below use the advance-decline-difference, the session count of advancing issues minus declining issues, as the raw input to the averages and oscillators.

The cumulative-advance-decline

A cumulative-advance-decline is the running total of daily advance-decline-difference values. Its trend can diverge from a capitalization-weighted index over the same advance.

The slope of the total is the feature, not short-horizon turning points.

A two-speed-breadth-oscillator

One two-speed-breadth-oscillator is the 19-period exponential average of the advance-decline-difference minus the 39-period exponential average. Those lengths match 10 percent and 5 percent smoothing-constant values, using period equals two divided by the percentage, minus one.

Construction charts for that oscillator mark overbought-oversold-band outer thresholds at plus 100 and minus 100, with suggested inner bands from plus 70 to plus 100 and from minus 70 to minus 100.

Three readings on the same oscillator

The oscillator is read for three conditions: an overbought or oversold extreme, price-indicator-divergence from the price trend, and a midpoint-cross as a trend signal.

An alternative oversold construction waits for a recross back above minus 100 instead of treating the first break of that threshold as an upside signal.

Daily advance-decline-difference values are specified for short-horizon momentum. Weekly differences are specified when a longer horizon is required.

Nasdaq McClellan oscillator against +100 and −100 extremes

Daily 19-day minus 39-day exponential spread of Nasdaq advances minus declines from August 1999 into early August 2000. A trader should watch the +100 and −100 lines the article treats as overbought and oversold: the oscillator is orderly through the winter, then prints much wider extremes into the April 2000 crash (near −280) and the June rebound (near +220). Coordinates were read off the published MetaStock pane; no numeric table was printed.
Daily 19-day minus 39-day exponential spread of Nasdaq advances minus declines from August 1999 into early August 2000. A trader should watch the +100 and −100 lines the article treats as overbought and oversold: the oscillator is orderly through the winter, then prints much wider extremes into the April 2000 crash (near −280) and the June rebound (near +220). Coordinates were read off the published MetaStock pane; no numeric table was printed.NASDAQ Composite · Daily · 1999-08-02T00:00:00.000Z to 2000-08-04T00:00:00.000Z

Construction is the 10% EMA minus the 5% EMA of daily advances minus declines (19-day and 39-day). The author also mentions optional bands at ±70. Digitized from the raster and rounded to 10 oscillator units; later swings are larger than the pane’s labeled +200/−300 ticks can resolve precisely.

Overlay a 10-day simple average

A 10-day simple moving average of the advance-decline-difference can be overlaid on the two-speed-breadth-oscillator. The exponential construction tends to change direction shortly before the simple average.

A breadth-summation-index for major turns

A longer-horizon breadth-summation-index equals the prior summation plus the current oscillator. A ratio-adjusted-breadth input replaces the raw net count with 1000 times the advance-decline-difference divided by the sum of advances and declines.

Chart convention looks for a major-bottom context below minus 1300 and a major-top context above 1600 when price diverges.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
58 of 71 in the Market breadth track
20011-6 pp.Next on Market breadthMarket breadth, beta, and volume-price confirmationMarket-breadth is a daily momentum read of 52-week new highs and lows, advancing versus declining issues, and up versus down volume, not a stock-picking score.
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 year200059 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 smoothing1994Three-horizon construction of the Haurlan index