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2013issue C0430-32

A one-year breadth average as a participation gate

This case study rebuilds a low-update participation procedure from a one-year moving average of cumulative advance-decline data. The rule is to participate when the cumulative line is above that average and to stand aside when it is below, using NYSE advancing and declining issues with the Dow Jones Industrial Average in a seven-column workbook.

  • The case study builds a participation procedure from a one-year moving average of a cumulative advance-decline line.
  • The rule is to participate when that line is above the average and to stand aside when it is below.
  • A retail participant can keep the work in seven spreadsheet columns and refresh it a few times a year.
  • The same construction is described as transferable to NASDAQ advance-decline data and corresponding index trackers.
Entries in this reading3 entries
Trend following89 readingsCurrent trackMarket breadth120 readingsMoving average449 readings

What the case study builds

The case study builds a low-update participation procedure from a one-year moving average of cumulative advance-decline data. Market-breadth is taken from daily counts of advancing and declining issues and is used as a participation input rather than as a price series.

The worked example uses NYSE advancing and declining issues as the breadth input and the Dow Jones Industrial Average as the associated price series.

How the cumulative line is built

Daily advance-decline percent change is defined as advancing issues minus declining issues, divided by their sum, then multiplied by 1000.

The cumulative advance-decline line is the running sum of that daily percent-change series. The filter is a simple one-year moving average of the cumulative line. That moving average supplies the state threshold.

The stay-in or stand-aside rule

The rule is to participate when the cumulative advance-decline line is above its one-year moving average and to stand aside when that line is below the average.

The binary stay-in or stand-aside procedure is driven only by whether the cumulative breadth line is above or below its average.

Seven columns a retail participant can keep

The workbook uses seven columns: date, DJIA close, daily advancers, daily decliners, daily advance-decline percent change, the cumulative line, and the one-year average of that line.

The procedure is framed for a retail participant who can refresh observations a few times a year with a newspaper listing, paper notes, or a spreadsheet. Low-frequency update means refreshing the breadth series and the average only a few times a year instead of continuously.

The same construction on other listings

The same construction is described as transferable to NASDAQ advance-decline data and corresponding index trackers.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
70 of 71 in the Market breadth track
20156-7 pp.Next on Market breadthFalsifying a healthy correction with breadth and supportA stretch far above typical value raises the chance of a move back toward that range, but it does not certify a routine correction or a bear market.
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 year201398 readings
All 120 readings tagged Market breadth
Also on Market breadth5 readings
1991Independent formula timers kept as a testable combinationTrend following1990Price-weighted construction distorts breadth, support, and trendTrend following1996Smoothed advance-decline alerts at the 1987 and 1990 turning pointsTrend following1997A 1995 industrial-average breakout mapped from component trendsTrend following1989Weekly high and low averages as stop-and-reverse levelsTrend following