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StockFetcher Forums · Filter Exchange · Kevin's New High Filter<< >>Post Follow-up
VenturaTrader
30 posts
msg #88304
Ignore VenturaTrader
2/15/2010 10:45:32 PM

Occasionally I look at Kevin's new highs filter; based on the way it has bottomed out to resume the previous trend of when the market was in an up trend, maybe the market will head up too! Thanks for the filter Kevin!

Kevin's Post from 1/20/2010 8:51:40 PM

Actually I agree with this basic concept - as new highs outstrip new lows, the market is in no real danger of correcting.

Here's an interesting post from this afternoon with some data to support this idea:

The High Low Index & The Stock Market: Up!

Also, here's a quick filter to show you how well this approach has predicted the overall market movements over the past two years (using SPY, DIA, and QQQQ as market surrogates):


Fetcher[

/*SET NEW HIGHS - NEW LOWS AS MARKET INDICATOR*/
set{newh,ind(^hign,close)}
set{newl,ind(^lown,close)}
set{total, newh + newl}
set{difference,newh - newl}
set{HighLow_osc, difference / total}

draw HighLow_osc line at 0
add column HighLow_osc {new highs / new lows}


symlist(spy,dia,qqqq)
chart-time is 2 years
]




When this line crosses below 0, look out!



Radiomuse
288 posts
msg #88325
Ignore Radiomuse
2/16/2010 2:55:57 PM

VT - cool idea, but are you sure it's working right? I'm showing the same exact numbers for the new high, new low and oscillator for all three indices. And even when I changed the symlist to just a single ticker (DIA), the data is the same.

I'm not familiar with this code....

set{newh,ind(^hign,close)}

Is it supposed to be counting the number of new highs for an index in your symlist based on closing prices? New highs over what time frame?

Thanks

Kevin_in_GA
4,557 posts
msg #88329
Ignore Kevin_in_GA
2/16/2010 4:04:23 PM

It shows the new highs - new lows for the NYSE, the largest component of the US markets. SF does not have access to new high/low data for the other markets.

It is part of what I call my HOLY TRINITY of indicators, all based on the NYSE:

Fetcher[

/*THE HOLY TRINITY - OVERALL MARKET INDICATORS*/

/*SET RATIO OF ADVANCING AND DECLINING STOCKS ON NYSE AS A VARIABLE AND CREATE A MOVING AVERAGE OSCILLATOR*/
set{var1, ind(^advn,close)}
set{var2, ind(^decn,close)}
set{var3a, var1 / var2}
set{AD_count_oscillator, CEMA(var3a,10)}

/*SET NYSE ADVANCING VOLUME / DECLINING VOLUME RATIO AS SECOND VARIABLE AND CREATE A SIMILAR OSCILLATOR*/
set{var3,ind(^nvlu,close)}
set{var4,ind(^nvld,close)}

set{advancing_volume, sum(var3,10)}
set{declining_volume, sum(var4,10)}
set{volume_oscillator, advancing_volume / declining_volume}

/*SET NEW HIGHS - NEW LOWS AS THIRD INDICATOR*/
set{newh,ind(^hign,close)}
set{newl,ind(^lown,close)}
set{range, newh + newl}
set{difference,newh-newl}
set{HighLow_osc, difference / range}

draw AD_count_oscillator line at 1
draw volume_oscillator line at 1
draw HighLow_osc line at 0.5

add column AD_count_oscillator {advance/decline oscillator}
add column volume_oscillator {up/down volume oscillator}
add column HighLow_osc {new highs - new lows}

symlist(spy)
chart-time is 6 months

]



I am a little concerned because a see a negative divergence on both the volume oscillator and the a/d count oscillator since mid-July (lower highs in the indicators while the market is making higher highs).

However, you trade what you see and the overall indicators are positive.

drew9
171 posts
msg #88333
Ignore drew9
2/16/2010 8:51:27 PM

Interesting way to look at things! I have been utilizing FINVIZ a bit lately and remembered that they have stats each day on the market as a whole. I got to wondering what the oscillator might look like for stocks above their 50 and 200 day MA. They show the totals on their site. Just wondered at what point this oscillator might roll over to designate a downtrend. Care to give this a go Kevin?

http://finviz.com/

VenturaTrader
30 posts
msg #88336
Ignore VenturaTrader
2/16/2010 10:54:39 PM

Thanks for the update Kevin and for sharing again. I am restricted to trading mutual funds in my 401k (Vanguard) and I can only go long. Your new highs filter has helped me to determine we were NOT going into armageddon before pulling the trigger. Hopefully we'll have a nice move up for a while!

Always watching!

Mike

StockFetcher Forums · Filter Exchange · Kevin's New High Filter<< >>Post Follow-up

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