Weekly market breadth as one procedure on an unused window

A breadth picture is still only an input

The archive records a weekly market-breadth procedure that treats new highs and new lows as two investor classes, so it scores them on separate oscillators instead of one combined high-low ratio.

Weekly advance-decline is updated from that week's advancing and declining issues, not from summed or averaged daily counts. From January 1978 the exchange new-high and new-low counts use a 52-week horizon. Earlier counts used lookbacks from about two and a half months to fourteen and a half months.

Three oscillators, two of them on their own clocks

Over one shared week window, advance-decline and the Dow average are each mapped onto a minus-50-to-plus-50 range oscillator so their difference, ADLrs, can be compared on a common scale. ADLrs is advance-decline strength minus Dow-average strength after both series are mapped that way.

New-low and new-high strength use the same range-rescaling formula but independent week counts, because the two groups are assumed to act on different horizons. NLstr is the new-low count mapped to a minus-50-to-plus-50 range oscillator over its own week window. NHstr is the new-high count mapped the same way over its own week window.

One weekly close for long, short, or stay-out

Those oscillators are not left as a chart comment. A weekly-close long requires ADLrs at or above Brs, NLstr declining and at or below NLbx, and NHstr rising and at or above NHbx. A short uses the mirrored ADLrs, NLstr, and NHstr conditions. If those joint tests fail, the mechanical trading system has no entry that week.

Numbers chosen on one window, frozen for the next

Nine parameters are searched on weekly S&P 500 data from 1 January 1987 through 15 September 1995, then frozen and applied to the unused 1 January 1978 through 15 September 1986 window. Similar segment results are not taken as a future guarantee.

The search ran in three sequential passes: ADLrs, then NLstr, then NHstr, and was repeated. The published set is Brs and Srs of -30, a 5-week ADLrs window, an 8-week new-low window with NLbx 10 and NLsx 30, and a 4-week new-high window with NHbx -40 and NHsx 40.

What the archive charts and trade list showed

Charts and the trade list show the procedure stayed long through the 1981-82 decline, entered longs early in the 1987 and 1990 declines, and produced small whipsaw losses. Dollar results are not percentage-comparable across the two price eras.