MS123 IndexDefinitions - Home

Modified on 2019/02/18 11:38 by Eugene — Categorized as: IndexDefinitions

Description

MS123 IndexDefinitions is a library of indicators and indices used in Wealth-Lab's Index-Lab tool. At this time, the following indices are included:

Adjusted Advance Decline Ratio (ADR)
- Adjusted Advance Decline Ratio by Richard Russell is calculated as the sum of ((advancers - decliners) / total issues)
Advancing/Declining Issues Percent
Arms Index (TRIN)
- The Arms Index, calculated as: (advancing issues / declining issues) / (advancing volume/declining volume),
  is a market breadth index. Readings above 1 indicate that more volume is moving into declining stocks, below 1 means that more volume is moving into advancing stocks, and a ratio of 1 is the market in balance. See here for more on its interpretation.
Big Movers only (BMO)
- This is the Advance Decline line by Greg Morris calculated using only days when either the advancers, decliners or both were above a predetermined percentage of total issues.
Bolton Tremblay Indicator
- The Bolton Tremblay Indicator is a complex cumulative advance-decline indicator that uses the number of unchanged issues. Its interpretation is similar to the Advance/Decline Line. It can be used to spot trend changes and measure strength/weakness. Look for its divergences and trends - the absolute and relative values of the indicator are less important.
  Reference: Colby - The Encyclopedia of Technical Market Indicators on Google Books
Breadth Index (BRIN)
- The BRIN indicator was created by Jacobus van den Brink (see December 2005 issue of Stocks and Commodities magazine, "Overhauling Market Breadth"). The BRIN results from a mathematical transformation of the TRIN (aka Arms Index).
Breadth Index Adjusted (BIA)
- Adjusted Breadth Index by Norman Fosback is calculated as absolute value of (advancers - decliners) / total issues * 100.
Bretz TRIN-5 (BTRIN)
- The Bretz TRIN-5 indicator by W.G.Bretz is a 5-day sum of the Arms Index.
Bullish Percent Index (BPI)
- The formula is: Number of stocks on P&F buy signals/total number of stocks.
  Refer to this article for its interpretation.
Cash Flow Index (CFI) by W.Mason, also known as the Technical Index
- Formula: Previous value + Today's ( V*((A-D)/TI)+((UV-DV)/V)+((H-L)/TI)) , where: A = advancers, D = decliners, TI = total issues, UV = up volume, DV = down volume, V = volume, H = new highs, L = new lows
Climax Indicator (CLX)
- CLX is the number of symbols with upside breakouts in their On Balance Volume minus the number of symbols having downside breakouts in OBV. It oscillates around a zero line; negative readings is the number of stocks dropping in price on large volume, and vice versa. Look for confirmations or non-confirmations of price moves by the CLX. For example, of CLX drops on a general up day in the "Basic Index" of the DataSet, the move is suspect.
Cumulative Volume Index (CVI)
- CVI is calculated by subtracting the down volume (volume of symbols that declined) from the up volume (number of shares in advancing issues) each bar and adding that number to the previous day's CVI. The actual readings can be ignored: interpreting the CVI is about its direction, chart outlook, and price confirmation/nonconfirmation. For instance, new CVI highs/lows confirming a price move in same direction is a strong signal; a divergence between CVI and price indicates weakness of the move, not confirmed by the majority of symbols, and potential reversal.
Cumulative Volume Ratio (CVR)
- Cumulative Volume Ratio by J. Lawlor indicates the momentum of volume over a time period.
Demand Index (DI) by James Sibbet
- The Demand Index by James Sibbet combines price and volume in such a way that it is often a leading indicator of price change. Formula:
  Demand index = Sum of n-day upside volume / Sum of n-day downside volume
- Interpretation: Demand Index
Dysart Positive/Negative Volume (DPNV)
- Paul Dysart's Positive/Negative Volume is similar to Granville's OBV. More in Wikipedia.
Eliades New TRIN (ETRIN)
- The Eliades New TRIN is a smoothed version of Arms Index (TRIN).
Gap Index (GAP)
- The Gap index is a market breadth indicator that measures the number of symbols that gapped up and down. For each bar, the number of full and partial gaps is recorded, as well as the difference between the full gaps up and full gaps down. The following constituents comprise the index:
  - Open: number of full gaps up (today's open is above yesterday's high)
  - High: number of partial gaps up (today's open is above yesterday's close)
  - Low: number of full gaps down (today's open is below yesterday's low)
  - Close: number of partial gaps down (today's open is below yesterday's close)
  - Volume: the difference between the number of full gaps up (as a positive number) and the number of full gaps down (as a negative number). Consequently, positive numbers indicate that gaps up prevailed on that bar and vice versa; a zero means there either were no gaps or the numbers of full up/down gaps were identic.
Haurlan Index
- Haurlan Index is used to detect market breadth. It's constructed as a N-period EMA of the net advances over declines. There are three components of it: short term (usually 3-day), medium term (20-day), and long term (200-day). Each of these is used to look at short-term, medium-term, and long-term trends in market breadth, respectively. Note: the Close "price" of the index that you built contains the Haurlan Index while the O+H+L and Volume are meaningless (used internally). For more on interpretation please visit: Understanding Haurlan Index Indicator, Colby - The Encyclopedia of Technical Market Indicators on Google Books
High Low Logic Index
- Developed by Norman Fosback, the indicator is the lesser of the number of new highs or new lows divided by the total issues. High indicator readings indicate that many stocks are reaching new highs and new lows at the same time so the market appears to be inconsistent (bearish signal). Extreme low indicator readings are considered to be a bullish signal. Note: the OHLC returns the absolute value while Volume represents the number as percentage.
Hughes Breadth Index
- The indicator measures the ratio between the difference of advancing and declining issues to the total number of issues. The idea is that the increasing index may indicate a possible rising market and the decreasing index signals a potential decline in prices. It's advised to smooth the index by a moving average. Formula:
  HBI = (A-D)/(A+D+U), Where A = advancing issues, D = declining, U = unchanged
Indicator Crossover/Crossunder (value) (XOI/XUI)
- Returns the number of stocks that have crossed above an indicator's value.
JK HiLo Index (JKHL)
- See The JK HiLo Index by Jay Kaeppel (TASC October 2011). Note: only the Close price containing the JKHL index is meaningful and can be used in trading systems; the OHL prices here do not matter and are used for intermediate index component calculations.
Low Frequency Trading (LFT)
- See Low Frequency Trading by Ron McEwan (TASC April 2013).
Market Strength ratio is the total number of the stock which increased N% divided by the total number of the stock which decreased N%. The percentage rise/decline is selectible when creating the index in Index Manager. It's available as a ratio (raw values) and as percentage (to be used as an oscillator), with OHLC and Volume holding the ratio and the oscillator, respectively:
- Market Strength ratio = (total number of the stock which increase N% / total number of the stock which decrease N%)
- Market Strength oscillator = 100 - 100/( 1+(total number of the stock which increase N% / total number of the stock which decrease N%))
Market Thrust Oscillator (CMTO)
- Tushar Chande's Market Thrust Oscillator is a powerful measure of the stock market's internal strength or weakness.
- Formula = ((AI*AV - DI*DV)/(AI*AV + DI*DV))*100, where AI = advancers, AV = advancing volume, DI = decliners, DV = declining volume.
McClellan Oscillator and McClellan Summation Index
- The McClellan Oscillator (MCO) is calculated by subtracting a 39-period MA of (Advances – Declines) from a 19-period EMA of (Advances – Declines). Its interpretation is similar to many oscillators: pay attention to its overbought/oversold readings and note its crossings with the zero line which can signal trend changes. The McClellan Summation Index (MCSI) is a cumulative version of the MCO. Look for its bullish/bearish crossings with the zero line. Refer to MCO for more details on their construction and interpretation.
McClellan Oscillator - Volume (MCOV) and McClellan Summation Index - Volume (MCSIV)
- McClellan Oscillator - Volume is a market breadth indicator that is using up and down volume instead of the number of advancing and declining issues.
- The McClellan Summation Index - Volume is a long-term version of the McClellan Oscillator - Volume using up and down volume instead of the number of advancers and decliners.
- For their description, see Gregory Morris' book "The Complete Guide to Market Breadth Indicators".
Merriman Volume Model (MVM)
- Merriman Volume Model is an indicator that determines market strength/weakness, using the up/down volume as a ratio
New Highs/New Lows Ratio
- The ratio of issues making new highs vs. issues making new lows. The high/low period is configurable. Formula:
  NHNL = NH/(NH+NL), Where NH = new highs, NL = new lows
New Highs - New Lows (NHMNL)
- This index is simply the difference between new highs and new lows
New High New Low Line (NHNLL)
- The sum of differences between new highs and new lows
New Highs and New Lows Oscillator
- New Highs and New Lows Oscillator is a market breadth indicator that is based on the difference between the number of advancing and declining issues that is put into a relationship like the advances and declines are with the McClellan Oscillator.
New Highs Percent Total (NHPT) and New Lows Percent Total (NLPT)
- The new highs (lows) as a percentage of total issues, respetively.
New n-bar Highs/Lows
- Number of symbols trading at their N-bar highest or lowest price
New Weekly Highs/Lows
- Same as above. Easily get the number of issues trading at Weekly highs/lows using intraday or Daily data.
Number of stocks above (below) an indicator's value
- Makes possible to create an index that shows the number of symbols on each bar whose indicator reading is above or below some values. For example: number of stocks with ADX below 20. To create an index, select whatever indicator you like, configure its settings first, and enter a value for the indicator to be above above or below.
Number of stocks crossing over (under) an indicator's value
- Similar to the above, except that it counts the number of symbols whose user-selected indicator have crossed above or below some value.
Number of symbols trading x Standard Deviations above (below) their n-period indicator
- To create the index, select a moving average you like, configure its settings, and enter a number of Standard Deviations to create "trading bands". For example, this indicator will show how many symbols are trading 2 standard deviations above or below of their 20-day SMA.
Overbought/Oversold Ratio
- A market breadh index measuring the relation of overbought issues to oversold issues using the RSI indicator. The RSI period, as well as overbought/oversold thresholds, are selectible at index creation time. Higher readings indicate that there are more overbought issues than oversold, and vice versa. This can be useful to both contrarian and trend traders. It's available as a ratio (raw values) and as percentage (to be used as an oscillator), with OHLC and Volume holding the ratio and the oscillator, respectively.
Price/Indicator Crossover/Crossunder (PIXO/PIXU)
- Returns the number of stocks whose Price have crossed above the Indicator's current value.
Schultz Advances/Total Issues
- This market breadth indicator is calculated as the ratio of advancing issues to the number of total issues.
STIX (Short Term Trading Indicator)
- STIX is an exponentially smoothed breadth-momentum indicator developed by The Polymetric Report that compares the amount of volume flowing into advancing and declining stocks. STIX typicall oscillates between +42 and +58, with low readings (< 45) being bearish and high readings (> 56) being bullish. Formula:
  STIX = EMA(21) of A/(A+D)*100, where A = advancing issues and D = declining issues
  Further reference: Colby - The Encyclopedia of Technical Market Indicators on Google Books
Speculative Demand Ratio (SDR) by David Varadi
- The SDR measures the ratio of money flow into the most volatile stocks versus the least volatile stocks within a given DataSet. Ratio greater than 1 indicates a greater than average demand for risk and the market is about to do well, and the ratio less than 1 is a sign that large investors are getting increasingly cautious and the market is likely to do poorly. Extreme values are a contrarian signal – ratios well above 1 or well below 1 indicate market tops and bottoms, respectively.
Swenlin Trading Oscillator (STO) and Swenlin Trading Oscillator - Volume (STOV)
- The Swenlin Trading Oscillator (STO) by Carl Swenlin is an overbought/oversold indicator that can assist in identifying short-term tops and bottoms
- The formula is disclosed here: Swenlin Trading Oscillator
- STO-V by Carl Swenlin was designed for short-term trading
Technical Index (TI)
- W. Mason's Technical Index helps find divergences in market breadth near market tops and bottoms
Trend Exhaustion Index (TEI)
- Trend Exhaustion Index is a 10-period EMA of new highs divided by the advancers.
Total volume
- Simply adds all the volume within a given DataSet (i.e. sums up the volume for all instruments on a given bar).
Unchanged Issues Index
- Calculated as the ratio of unchanged to total issues.
Up Down Volume Line (UDVL)
- The Up Down Volume Line by Dick Arms is a variation of the Advance Decline Line, using up and down volume instead of advancers and decliners
Up/Down Volume Ratio
- This is a confirmation indicator that is calculated as: Volume Ratio = Up Volume / Down Volume.
  High and peak readings confirm upward moves while low (fractional) values are a sign of market weakness and confirm new lows.
Up/Down Volume Spread
- The Up/Down Volume Spread indicator is calculated as Volume Spread = Up Volume - Down Volume. It oscillates around a zero line, and crossing the zero line might suggest that a change in trend is underway, while extreme values indicate an overbought/oversold state.
Velocity Index (VI)
- The Velocity Index is calculated as ((unchanged / 2) + advancers) / total issues
Volume Percentage Ratio (VPR)
- Volume Percentage Ratio by Mike Burk is an EMA of down volume % subtracted from an EMA of up volume %
Weekly Buying/Selling Climax (absolute/percentage)
- A buying climax is when an instrument makes a new 52 week high for the week, but closes lower than the previous week's close. Opposite for selling climax. For more on its interpretation, see here and here.
Zweig Advance/Decline indicator
- Also known as the "A/D Ratio", the index shows the ratio of advancing issues to declining issues. Large positive values indicate a strong market performance (positive market momentum), while a negative ratio represents a weak performance (negative market momentum). A ratio of greater than four, known as "Panic Thrust", is a buy signal based on overreaction to a market's extreme. Further reading: here, here
Zweig Breadth Thrust
- Also known as Breadth Advance/Decline indicator, this overbought/oversold indicator developed by Martin Zweig is calculated according to the following formula:
  ZBT = N-day MA (Advancing Issues / Total Issues) * 100, where total issues = advancers + decliners
- The original, smoothed ZBT is available in the OHLC "prices" of the created index while the "Volume" holds its raw numbers (before smoothing).
Zweig Up Volume Indicator (ZUVI)
- Dr. Martin Zweig's Up Volume Indicator measures the ratio of up volume and down volume.

To use the library, install the Extension from our web site www.wealth-lab.com, open the Index Manager tool in Wealth-Lab 6.4+ and scroll down the list of available indices where the new indices and indicators will appear below Tsokakis MACDBull/MACDBear.

Download Project Source (2011.08 demo version)

In this demo version, only Advancing/Declining Issues Percent is included.

You can find its zipped source code by clicking on "Attachments" on top of the page.

To download attachments, you need to log in to the Wiki with a SEPARATE Wiki account authorized by Wealth-Lab staff for this purpose! Logging in on the wealth-lab.com site is NOT enough.

Wealth-Lab customers who can't see "Attachments" - please visit Support section at wealth-lab.com.