StockFetcher Forums · General Discussion · Concerned about the market? You should be ...<< 1 2 3 >>Post Follow-up
Kevin_in_GA
4,539 posts
msg #90632
Ignore Kevin_in_GA
4/1/2010 6:58:02 AM

Based on a series of market breadth indicators, there is a good chance for a imminent pullback. In fact, there have been signals and divergences on most indicators for days to weeks by now that a correction should already have happened.

One of my key indicators for this is the NYSE Summation Index (also called the McClellan Summation index), shown here:

http://stockcharts.com/h-sc/ui?s=$NYSI&p=D&yr=1&mn=0&dy=0&id=p57361657497

It peaked on March 23rd, and has been steadily declining over the past week. Looking at the charts, this usually is concurrent with a pullback, which has yet to happen.

Also, the number of new highs - new lows for the NYSE is dropping quickly while the market has risen or stayed flat:

http://stockcharts.com/h-sc/ui?s=$NYHL&p=D&yr=1&mn=0&dy=0&id=p77477220744

Finally, look at the 10 day MA of up volume to down volume for the NYSE:

http://stockcharts.com/h-sc/ui?s=$NYUD&p=D&yr=1&mn=0&dy=0&id=p40471327583

Below 0 and dropping, while the market remains bouyant.

Trade carefully. Very tricky to go short now, since the market is not acting logically (i.e., it's being pumped relentlessly).

chetron
2,817 posts
msg #90633
Ignore chetron
modified
4/1/2010 7:26:23 AM

MCCLELLAN.......


Kevin_in_GA
4,539 posts
msg #90634
Ignore Kevin_in_GA
4/1/2010 8:32:45 AM

More info on the Summation Index (from stockcharts.com):

There are two methods for calculating the Summation Index. The first method (the one originally used by the McClellans) simply maintains a running total of the values of the McClellan Oscillator (which is defined here). The second method uses the following formula:

Summation Index = 1000 + (10%Trend - 5%Trend) - [(10 x 10%Trend) + (20 x 5%Trend)]

where:

5%Trend = 39-day EMA of (Advancers-Decliners)

10%Trend = 19-day EMA of (Advancers-Decliners)


The McClellan Summation index generally oscillates between 0 and 2000 although it can move outside of this range during extreme or unusual market conditions. Historically, major market bottoms occur after the index falls below -1000. Readings above +1600 often indicate a major top is near. Top and bottom signals carry more significance if the index is also diverging from the associated market average. According to the McClellans, the beginning of a new bull market is signaled if the NYSE-based Summation index first moves below the -1200 level and then quickly rises above +2500.

The Summation Index is simply a longer range version of the McClellan Oscillator. Whereas the McClellan Oscillator is used for short to intermediate trading purposes, the Summation Index provides a longer range view of market breadth and is used to spot major market turning points.


I look at the directional change as also being significant, perhaps more so than the absolute value. It is particularly good at picking bottoms:

http://stockcharts.com/h-sc/ui?s=$NYSI&p=D&yr=3&mn=0&dy=0&id=p19951576606



chetron
2,817 posts
msg #90637
Ignore chetron
4/1/2010 8:53:45 AM

how can the u.s. gov sell it's shares of citibank and prop up the market?

isn't it one or the other??


tia

karennma
6,827 posts
msg #90639
Ignore karennma
4/1/2010 9:25:25 AM

Chet:
Yep. That's Y I thought C would go DOWN, not up.
:>)


karennma
6,827 posts
msg #90640
Ignore karennma
4/1/2010 9:27:54 AM

Kevin_in_GA
- Kevin_in_GA 4/1/2010 6:58:02 AM
It peaked on March 23rd, and has been steadily declining over the past week. Looking at the charts, this usually is concurrent with a pullback, which has yet to happen.
====================================================

I don't expect much volatility the rest of the week.
This is Good Friday week, and the markets are CLOSED tomorrow.
This week is also Pesach week (Jewish Holiday).


Kevin_in_GA
4,539 posts
msg #90642
Ignore Kevin_in_GA
4/1/2010 9:43:47 AM

Here is how I have coded this:

Fetcher[

/*THE FOUR HORSEMEN - OVERALL MARKET INDICATORS*/

/*SET ADVANCING - 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_19, CEMA(var3a,19)}
set{AD_39, CEMA(var3a,39)}
set{AD_McClellan, AD_19 - AD_39}
set{AD_summation, sum(AD_McClellan,40)}

/*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{newhighs_minus_newlows,newh-newl}
set{HighLow_osc, newhighs_minus_newlows / range}

/*SET SPX VIX BID / ASK RATIO AS A VARIABLE AND CREATE A 10 PERIOD EMA*/
set{VIXbid,ind(^vvvb,close)}
set{VIXask,ind(^vwa,close)}
set{VIXratio, VIXbid / VIXask}
set{trigger_line, CEMA(VIXratio,10)}

/*DEFINE VIX OSCILLATOR AROUND ZERO*/
set{VIX_oscillator, VIXratio / trigger_line}

draw AD_McClellan line at 0
draw AD_Summation line at 0
draw volume_oscillator line at 1
draw newhighs_minus_newlows line at 0
draw VIX_oscillator line at 1

add column AD_McClellan {McClellan Oscillator}
add column AD_Summation {Summation Index}
add column volume_oscillator {up/down volume 10 day ratio}
add column newhighs_minus_newlows {new highs - new lows}
add column VIX_oscillator {VIX bid-to-ask oscillator}

symlist(spy)
chart-time is 6 months
]



I am using a 40 day sum for the NYSI, a somewhat arbitrarily chosen value. I also have included a VIX-based oscillator based on the ratio of the bid-to-ask (yes, this info is available in SF).



duke56468
683 posts
msg #90643
Ignore duke56468
4/1/2010 10:04:37 AM

Kevin ....Thanks for the nice work.

Kevin_in_GA
4,539 posts
msg #90645
Ignore Kevin_in_GA
4/1/2010 10:38:33 AM

You're welcome. Of course, today is another example of why you need to be careful calling a top. Even with another 439K initial claims being filed, the market goes up 1% in the first hour. Indicators might as well be thrown out the window unless they only point "UP".

straken
469 posts
msg #90647
Ignore straken
4/1/2010 11:07:47 AM

chetron
- Ignore chetron 4/1/2010 8:53:45 AM

how can the u.s. gov sell it's shares of citibank and prop up the market?

isn't it one or the other??


tia
====================================
Chet, if I am correct USG had cumulative preferred stock and exchangeable preferred stock. The sale of either would not affect common share price. Although any dividend due common holders would be diluted further as preferred carries rights to claim next dividend.
C may be up as some investors see the sell of these preferred shares as the governments willingness to release its hold on the nationalized bank. Either way its curious as they just nationalized the student loan industry.

StockFetcher Forums · General Discussion · Concerned about the market? You should be ...<< 1 2 3 >>Post Follow-up

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