Breadth of Market Indicators

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October 30, 2023 at 5:02 am #102196

KateMoloney
Participant

Hey Team,

I’ve been researching regime filters and/or indices to help determine strength or breadth of the market.

For example, whilst the $SPX is up YTD, stats show that it is driven by a small portion of those in the SPX.

What do you use to determine the breadth of the strength of the market?

Have had plenty of failed attempts at figuring it out.

Today I came across some ETFs which I’ll test out as regime filters, depending on volume and other limitations (see below)

Be curious to know what others use ?

October 30, 2023 at 5:05 am #115856

KateMoloney
Participant

I also thought this would be an interesting one to test on as a regime filter, instead of the usual C > 200MA

“% advancing versus declining (stocks up on the day versus down) % new highs versus new lows % stocks above their 50-day SMA and % below % stocks above their 200-day SMA and % below % bull-bear sentiment of subscribers”

October 30, 2023 at 6:52 am #115857

GlenPeake
Participant

Hi Kate,

Try analysing the % of stocks within a universe (e.g. SPX) that their 40day MA is above the close.

E.g.

InSPXUNI: InSPX
stocks: #sum InSPXUNI

t2108: #sum c > ma(c,40) and InSPX
SCANT2108: {“T2108: % Above 40Day MA”%2} t2108 /stocks

You could also try 20, 50, 100 or 200 day MA (or EMA)… etc..

My Dashboard has a few others, but they all highlight much the same etc…

For SPX examples, check Sheets # 9 and # 11 and scroll up and down for the various dates and watch things turn from GREEN to RED etc…

https://tinyurl.com/ASXBreadthSectorDashboard

October 30, 2023 at 7:34 am #115858

Nick Radge
Keymaster

Here’s an interesting fact.
Of the 500 stocks in the S&P 500, only 7 are positive YTD, i.e. 493 are negative
Of the Russell 3000, only 7 are positive, i.e. 2993 are negative.

I wrote an article a few months ago discussing various regime filters. A few breadth ones in that.

https://www.thechartist.com.au/best-market-conditions-to-invest/

October 31, 2023 at 6:16 am #115859

KateMoloney
Participant

Thanks for your input.

I also got this from Norgate Data.Ted (Norgate Data)Oct 30, 2023, 17:44 GMT+11Hello Kate,

Let’s take your first example – % of stocks in the $SPX above the X day moving average. To see what’s in the NDU database, go Tools > Data Viewer and select the US Indices database. Then enter SPX in the “Search by symbol” box. Or, more particularly, enter #SPX to show Market Breadth Indicators for SPX only. Or, even more particularly. also enter “above” in the “Search by name” box. This will narrow the search to 5 symbols.

You can do do a similar search using NDU’s Watchlist Library and optionally save your preferred indicators in a Static watchlist.

If you’re using AmiBroker, then all the Market Breadth Indicators are held under Groups > Market Breadth Indicator.

Regards,

Ted
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