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1993issue C121-3

Three transforms of market thrust from breadth and volume

Daily market thrust is assembled from advancing-issue count, declining-issue count, upside volume, and downside volume. The archive keeps that signed product difference as a daily flow and a cumulative market thrust line, recasts it as a thrust oscillator, and optionally applies oscillator smoothing.

  • Daily market thrust is assembled from advancing-issue count, declining-issue count, upside volume, and downside volume.
  • Each side of the tape is reduced to a breadth-volume product; the declining product is subtracted from the advancing product, then rescaled by a divisor of 1000000.
  • The thrust oscillator places that same signed product difference over the sum of the two products, and any simple-moving-average lookback may provide oscillator smoothing.
  • Summing the scaled daily oscillator produces a cumulative oscillator line, while summing the raw advancing-minus-declining product series produces the cumulative market thrust line.
Entries in this reading3 entries
Current trackOn-balance volume88 readingsMarket breadth147 readingsMoving average597 readings

Four series and one signed flow

Daily market thrust is assembled from four series: advancing-issue count, declining-issue count, upside volume, and downside volume.

Each side of the tape is first reduced to a breadth-volume product of issue count and matching volume. The declining product is then subtracted from the advancing product. That signed difference is market thrust.

A divisor of 1000000 is applied to that signed product difference only to rescale the daily thrust output.

The cumulative market thrust line

The cumulative market thrust line equals the first day's thrust and then adds each later daily thrust to the running total.

The same difference as a thrust oscillator

The thrust oscillator uses the same signed product difference in the numerator and the sum of the two products in the denominator.

One charting construction stores the advancing product, restores it against the declining product, and plots 100 times the ratio of their difference to their sum as the oscillator.

Oscillator smoothing and two running totals

Any simple-moving-average lookback may smooth the oscillator. A 21-day average is the worked example of oscillator smoothing.

Summing that scaled daily oscillator produces a cumulative oscillator line, while summing the raw advancing-minus-declining product series produces the cumulative market thrust line.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
22 of 61 in the On-balance volume track
19941-2 pp.Next on On-balance volumeConstructing a tick-line momentum oscillatorA 10-period exponential average of the daily closing tick is seeded from a 10-day simple average that is truncated to whole numbers so the smoother can tie the integer tick and allow a zero rating.
All readings on this track · 61 readings
  1. 1988Cumulative volume trend and 200-session polarity
  2. 1988Three clocks when cumulative volume led price
  3. 1988Payoff index checkpoints for open interest and divergence
  4. 1988Relative strength, stochastics, and on-balance volume as a turning-point stack
  5. 1988Signing volume by open interest change
  6. 1988Case study: weekly on-balance volume with trendlines and a 21-period average
  7. 1988Combining weekly and daily MACD divergences with on-balance volume
  8. 1988Restoring the original tests for market breadth, on-balance volume, and trendlines
  9. 1989Evaluating volume-weighted breadth extremes
  10. 1989Demand oscillator construction with a momentum overlay
  11. 1989Constructing a volume percentage ratio from advance-decline flow
  12. 1990Constructing net positive volume as On-balance volume
  13. 1990Buying-share scale with on-balance volume
  14. 1990Friday-filtered on-balance confirmation lines
  15. 1991Constructing rate-market volume breadth from on-balance volume
  16. 1991Building a breadth composite from on-balance volume breakouts
  17. 1992Constructing a rate-complex volume-breadth index
  18. 1992Constructing a breadth index from on-balance volume
  19. 1992Constructing signed market thrust from issue volume
  20. 1992Constructing indicator phase across averages, volume and bands
  21. 1993Force on-balance volume to agree with itself at slower horizons
  22. 1993Three transforms of market thrust from breadth and volume
  23. 1994Constructing a tick-line momentum oscillator
  24. 1994Constructing a smoothed on-balance tick momentum oscillator
  25. 1994Histogram confirmation and a second-series veto for MACD-family alerts
  26. 1994Constructing a 40-period envelope on on-balance volume
  27. 1996Constructing a matched percent-B volume disparity
  28. 1997Constructing calendar regime overlays and volume-weighted rules
  29. 1997Constructing market thrust from breadth and volume
  30. 1997Constructing on-balance volume as a signed running total
  31. 1997A three-layer construction for a signed volume-force oscillator
  32. 1997Constructing a range-sum volume-force oscillator
  33. 1999On-balance volume confirmation, price-indicator divergence, and bounded exits
  34. 2000A daily long-only confirmation stack on the tether line
  35. 2000A three-filter tether and volume trend system
  36. 2003Constructing finite volume elements as a finite-period money-flow filter
  37. 2003Constructing on-balance volume from signed session volume
  38. 2003On-balance volume as a market-breadth participation ledger
  39. 2003Construct a volatility-adjusted on-balance volume filter before confirming a breakout
  40. 2004Opening and midday ranges as an on-balance-volume breakout case
  41. 2004Constructing a volatility-gated volume-flow measure
  42. 2004Constructing a volume-flow series from on-balance volume
  43. 2004Volume-flow indicator construction from on-balance volume
  44. 2004Volume-flow slope divergence, then separate on-balance-volume and crossover rules
  45. 2004Volume flow and band construction as one inspectable problem
  46. 2004Auditing advance-decline confirmation for scale, horizon, and composition
  47. 2005Bounded market breadth from the Arms index to BRIN
  48. 2006Overnight-hold entry and exit construction
  49. 2007Evaluating Volume-price confirmation versus On-balance volume and MACD
  50. 2009Volume confirmation versus a price advance
  51. 2010Typeahead retrieval of a moving average, on-balance volume, and a stochastic oscillator
  52. 2010Modified volume-price trend and log-price scale alignment
  53. 2010Constructing liquidity accelerometers from advance-decline averages
  54. 2012Failed short cycles as breadth and volume tests
  55. 2016Earnings straddles, implied volatility, and money-flow filters
  56. 2017A volume residual filter and a price projection matrix
  57. 2019Volume-volatility parabola and signed-volume momentum
  58. 2019Separating on-balance volume into breadth and volume
  59. 2020Constructing the obvm signal line
  60. 2020Constructing smoothed on-balance volume with a signal line
  61. 2020Keep neutrality as a first-class input in three-state market data
By fieldMarket breadth135 readingsBy year1993106 readings
All 88 readings tagged On-balance volume
Also on On-balance volume5 readings
2004Auditing advance-decline confirmation for scale, horizon, and composition2010Constructing liquidity accelerometers from advance-decline averages1988Restoring the original tests for market breadth, on-balance volume, and trendlines1989Evaluating volume-weighted breadth extremes1992Constructing a breadth index from on-balance volume