StockFetcher Forums · General Discussion · ASSESSING SHORT-TERM MARKET TREND USING ADVANCING AND DECLINING STOCKS AND VOLUMES<< >>Post Follow-up
Kevin_in_GA
4,536 posts
msg #85684
Ignore Kevin_in_GA
1/6/2010 11:01:53 PM

Just posting an upgrade to a filter I had written and posted last night. The basic premise is that if the market is moving up, more stocks will advance than decline, and the daily advancing volumes will be higher than the declining volumes. Seems reasonable.

I had to dig through the many indices that stockfetcher tracks but eventually found exactly what I was looking for - NYSE up and down volumes, as well as the number of advancing and declining stocks each day. Since the NYSE accounts for the majority of all trading stocks and volumes, this should be a reasonably good indicator of market health and direction.

Here is the code, with SPY as the market surrogate - works the same for DIA or QQQQ.

Fetcher[
/*MARKET INDICATOR BASED ON ADVANCING/DECLINING STOCKS (AND VOLUMES) ON THE NYSE*/

/*SET RATIO OF ADVANCING AND DECLING STOCKS ON NYSE AS A VARIABLE AND CREATE A MOVING AVERAGE OSCILLATOR*/
set{var1,ind(^adra,close)}
set{count_oscillator, CEMA(var1,10)}

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

draw count_oscillator line at 1
draw volume_oscillator on plot count_oscillator

add column count_oscillator {count oscillator}
add column volume_oscillator {volume oscillator}

symlist(spy)
chart-time is 6 months

]



Obviously, one would go long when these oscillators are above 1.0, and sell or go short when they dip below.

Kevin



mystiq
650 posts
msg #85694
Ignore mystiq
1/7/2010 1:02:50 AM

nice observation::can this be set up to be viewed on a weekly chart (indicators and price)?

Kevin_in_GA
4,536 posts
msg #85724
Ignore Kevin_in_GA
1/7/2010 12:23:12 PM

Hmmm ... doesn't seem to want to work.

StockFetcher Forums · General Discussion · ASSESSING SHORT-TERM MARKET TREND USING ADVANCING AND DECLINING STOCKS AND VOLUMES<< >>Post Follow-up

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