StockFetcher Forums · General Discussion · S&P Short Term Oscillator<< >>Post Follow-up
moretimeforyou
3 posts
msg #155408
Ignore moretimeforyou
1/23/2021 9:37:27 AM

I searched to see if I could find this on this filter on this site but was unable to. Does anyone have one that mimics it? Thanks.

nibor100
744 posts
msg #155411
Ignore nibor100
1/23/2021 10:38:42 AM

Mimics What?

There are all kinds of Oscillators, and what do you mean by short term, etc.?

What oscillators did your search turn up that were not what you were looking for so we don't provide a non-starter response?


Ed S.

xarlor
398 posts
msg #155413
Ignore xarlor
1/23/2021 11:23:23 AM

The S&P Short Term Oscillator formula is a closely-guarded secret. You must pay $500/year for the privilege of just seeing its chart.

Below is a close approximation based on my limited understanding of it. If you can find the actual formula, post it here and we can give it a shot.

Fetcher[/* Poor-man's Short Term Oscillator */
symlist(SPY)

set{x1,close * .1}
set{x2,close 1 day ago * .9}
set{50trend,x1 + x2}

set{y1,close * .05}
set{y2,close 1 day ago * .95}
set{20trend,y1 + y2}

set{diff,50trend - 20trend}
set{cdiff,cema(diff,10)}

add column diff
draw diff
draw cdiff

draw diff line at 0.5
draw diff line at 0
draw diff line at -0.5

draw cdiff line at 0.1
draw cdiff line at 0
draw cdiff line at -0.1
]



moretimeforyou
3 posts
msg #155416
Ignore moretimeforyou
1/23/2021 1:46:37 PM

It is the Oscillator that Jim Cramer follows:

https://www.sposcillator.com/#:~:text=The%20S%26P%20Short%2DRange%20Oscillator%2C%20usually%20called%20the%20S%26P%20Oscillator,be%20either%20positive%20or%20negative.

The Oscillator is 'short range' in that the timeframes used in the calculations are all less than 30 trading days, with a stronger emphasis on the most recent 5 and 10 day time frames. The calculations use several broad market indicators when making the calculation including price changes and market breadth. Overbought and Oversold signals (+/-4.0) generally happen several times a year and extremes (+/- 10) are less frequent.




xarlor
398 posts
msg #155418
Ignore xarlor
1/23/2021 2:18:28 PM

If you can find the actual formula, post it here and we can give it a shot.

novacane32000
320 posts
msg #155419
Ignore novacane32000
modified
1/23/2021 2:34:52 PM

Not sure if this is what is being asked for but this works in range bound markets



Fetcher[/* code by Kevin_in_GA======== My backtest for SPY - the filter does not work in every market condition but does seem to work well when there is a volitile period-for example between oct 2018 and march 2019 the market did a V pattern and gained nothing but this filter gained 7%. In 2017 the market had a steady uptrend and this filter had a positive gain but did not beat the market */

/*TRENDSUM*/

/*1. IS THE MA(3) ABOVE THE MA(6)? +1 FOR YES, -1 FOR NO*/
set{var1a, count(ma(3) above ma(6), 1)}
set{var1b, count(ma(3) below ma(6), 1)}
set{var1, var1a - var1b}

/*2. IS THE CLOSE ABOVE THE MA(3)? +1 FOR YES, -1 FOR NO*/
set{var2a, count(close above ma(3), 1)}
set{var2b, count(close below ma(3), 1)}
set{var2, var2a - var2b}

/*3. IS THE CLOSE ABOVE THE MA(6)? +1 FOR YES, -1 FOR NO*/
set{var3a, count(close above ma(6), 1)}
set{var3b, count(close below ma(6), 1)}
set{var3, var3a - var3b}

/*4. IS THE SLOPE OF MA(3) POSITIVE? +1 FOR YES, -1 FOR NO*/
set{var4a, count(ma(3) above ma(3) 1 day ago, 1)}
set{var4b, count(ma(3) below ma(3) 1 day ago, 1)}
set{var4, var4a - var4b}

/*5. IS THE SLOPE OF MA(6) POSITIVE? +1 FOR YES, -1 FOR NO*/
set{var5a, count(ma(6) above ma(6) 1 day ago, 1)}
set{var5b, count(ma(6) below ma(6) 1 day ago, 1)}
set{var5, var5a - var5b}

/*6. IS THE CLOSE ABOVE THE PARABOLIC SAR? +1 FOR YES, -1 FOR NO*/
set{var6a, count(close above Parabolic SAR(0.02,0.2), 1)}
set{var6b, count(close below Parabolic SAR(0.02,0.2), 1)}
set{var6, var6a - var6b}

/*7. IS THE +DI(14) ABOVE THE -DI(14)? +1 FOR YES, -1 FOR NO*/
set{var7a, count(PDI above MDI, 1)}
set{var7b, count(PDI below MDI, 1)}
set{var7, var7a - var7b}

/*SUMMING THE INDIVIDUAL INDICATORS INTO THE TRENDSUM*/
set{sum1, var1 + var2}
set{sum2, sum1 + var3}
set{sum3, sum2 + var4}
set{sum4, sum3 + var5}
set{sum5, sum4 + var6}
set{trendsum, sum5 + var7}
SYMLIST(spy)

ADD COLUMN TRENDSUM
DRAW MA(3)
DRAW MA(6)
DRAW PARABOLIC SAR
DRAW TRENDSUM
PLOTTYPE{TRENDSUM, ZEROBAR}
DRAW ADX
]



nibor100
744 posts
msg #155426
Ignore nibor100
1/24/2021 11:34:52 AM

Based on Moretimeforyou's additional info, I've done a little bit of internet searching and below are somewhat key points various sites have made about this oscillator.

Ed S.

From the Market Edge/S&P Global Site

The S&P Short-Range Oscillator, usually called the S&P Oscillator, is a market measure which takes a number of related variables of trading data into account, tracks development according to several moving averages, and results in an average numerical value which may be either positive or negative.

The Oscillator is 'short range' in that the timeframes used in the calculations are all less than 30 trading days, with a stronger emphasis on the most recent 5 and 10 day time frames. The calculations use several broad market indicators when making the calculation including price changes and market breadth. Overbought and Oversold signals (+/-4.0) generally happen several times a year and extremes (+/- 10) are less frequent.

The S&P Short-Range Oscillator is a market measure which takes a number of related variables of trading data inot account, tracks development according to several moving averages and results in an average numeric value which may be either positive or negative. ..a vaue of 50% si considered "par" When the Oscillator reaches a value of +4% ( meaning 4% above par/54%) the market is technically said to be in an overbought position....-4%(-54%)...is oversold position.

from CNBC/Cramer:

Traders utilize the index, because it is used to predict the direction of an individual stock or index, and it also serves as an indicator to provide more information on the causes of volatility occurring in the market currently, said Giacomo Santangelo, an economics lecturer at Fordham University in New York.
"It is measuring momentum of capacity in the market and whether trading is slowing down or speeding up," he said.

Similar to other technically-driven trading strategies, traders should pair the S&P Oscillator Index with other technical indicators to obtain a "confirmation on the reading - either oversold or under bought, " said Shawn Cruz, a senior trading specialist at TD Ameritrade.

The Oscillator index is a momentum indicator that compares current prices to the range or fluctuation of that same price over a past period, said Edison Byzyka, chief investment officer of Hefty Wealth Partners in Auburn, Ind.

While there is not a single index which can accurately predict market moves every time, but momentum can certainly "help guide someone in the right direction," he said. "Buyer beware, however, as the oscillator has had its fair share of buy signals, which turned out to be wrong, much like other indicators. The index has also displayed a fair share of sell signals, which turned out to be wrong."

The index has also displayed various correct calls, but traders must remember that momentum is a very hard factor to analyze.

The S&P Oscillator Index is a market timing tool and is a short-term measure of market sentiment, said Robert Johnson, president of The American College of Financial Services in Bryn Mawr, Pa.When market indicators such as the S&P Oscillator Index provide certain readings, some market participants believe that action is warranted.

"Cramer has said in the past that when the reading is very low -- that is, very negative -- it is the time to be bullish," he said. "When the reading is very positive, it is a time to be bearish. He has said when the indicator is over five he would be bearish and when it is under minus five he would be bullish."

Market timing is not always an effective strategy...

The following is a list of actual data points from the S&P site that might be useful in comparison to other osciallators, timing filters, etc.

Thu. 01/24/2019 5.30%
Wed. 01/23/2019 5.30%
Tue, 01/22/2019 6.30%
Fri. 01/18/2019 8.70%
Thu. 01/17/2019 9.10%
Wed. 01/16/2019 7.50%
Tue. 01/15/2019 7.50%
Mon. 01A4/2019 7.60%
Fri. 01/11/2019 8.70%
Thu. 01/10/2019 8.30%
Wed. 01/09/2019 8.70%
Tue. 01/08/2019 6.00%
Mon. 01/07/2019 3.00%
Fri. 01/04/2019 -0.10%
Thu. 01/03/2019 -3.30%
Wed. 01/02/2019 -3.10%
Mon. 12/31/2018 -6.50%
Fri. 12/28/2018 -9.40%
Thu, 12/27/2018 -11.10%
Wed. 12/26/2018 -10.70%
Mon. 12/24/2018 -12.30%
Fri. 12/21/2018 -11.30%
Thu. 12/20/2018 -10.20%
Wed. 12/19/2018 -8.80%
Tue. 12/18/2018 -8.90%
Mon. 12A7/2018 -7.40%
Fri. 12/14/2018 -5.30%
Thu. 12/13/2018 -4.00%
Wed. 12/12/2018 -1.90%
Tue. 12/11/2018 -3.00%









StockFetcher Forums · General Discussion · S&P Short Term Oscillator<< >>Post Follow-up

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