Breadth Data

Research
1

I was wondering if we have any BREADTH data available.
I searched the board and found several posts requesting breadth data but found nothing that is available. Something like:

Number of stocks > 200 day MA
New Highs - New Lows
UpVolume - DownVolume
Number of Advances / Declines
etc.

Is there anything available?
If not, can we construct something breadth-wise from the tools we already have?
Thanks.
Wern

2

We could “easily” add a few breadth data indicators , which would be probably be new weekly data series than can then be fed into functions like SMA etc.

However we’re trying to come up with a much more general “time series construction tool” were you could create your own . For example historical series for:

  • CurrYEPS for each industry (like the SPEPSCY series for the SP500)
  • Average price2Book for a secotr, industry, etc
  • New high, new lows for each industry
  • New high new lows for your custom universe

This calculation would run before your simulation and create the series which would then be accessed in the rules.

For example if you created a series for average PE for each sector you would call it something like ‘SectorPE’. You could then sell a stock if the 5 week average its above the 10 week for its sector with something like this:

SMA(5,0,SectorPE) > SMA(10,0,SectorPE)

We’re brainstorming different examples to make sure the new tool could handle all cases. We should however have some pre-built ones first to get some feedback.

Some questions I have is for the technical breadth indicators you mentioned:

  • What universe ?
  • Is weekly data points ok ?
  • How would you use them ?

Thank you

3

Marco - sorry to jump in. Breadth of market is recognized by many as the most useful technical indicators. Breadth indicators are used on daily market data although it would be an interesting experiment to see how weeky data would work. Typically the NYSE stock exchange or NASDAQ is used for breadth data but there is no reason why any custom universe could not be used. The following is a summary of common breadth indicators (from my website) http://www.stockmarketstudent.com/breadth-indicator

Steve

4

Marco & All:

 I would like to be able to know the percentage of stocks in a specified universe that are above/below a specified SMA.  I have occasionally tried to do this using the screener, but it's too cumbersome to backtest easily in P123, as it now stands.

Also helpful:  No. of new X-day highs/lows within a specified lookback period. 

Specific examples: Percentage of stocks in the $SPX that are above their SMA10.  No. of new 100-day high closes in the Prussell 2000 during the last 3 days.

Daily data is definitely preferred, as I would like to try to hone-in on favorable conditions. Being able to use a data point in a P123 expression would be highly useful.  While we're at it how about being able to access volume e.g. Vol(0, #GetSeries("QQQ")) would return today's volume in the QQQ's.  This could be combined with a breadth indicator....(thinking out loud).

Bill
5

Hi Marco,

thanks for your reply. Good to hear that we ARE going to see breadth data here soon.

Universe? I’d say broad based universes like SP500, Nasdaq are needed at least. More is better.

Daily or weekly? In today’s fast moving markets I’m afraid weekly would be too slow. But if weekly is easier for you to implement, I’d take weekly data and wait for the daily data to come later.

What I am hoping for is that breadth data will show us some “hidden force” in the general market that can be used to stay out of or go into the market. Breadth data lend themselves to mean reversion so extreme values can be useful.

Any timetable yet?

Wern

6

deleted (double post)

7

Marco,

I would like you to make the breath factors generic enough that we can use an ETF as the universe in stock Sims/Ports/Screener/Ranking Systems, i.e. SMA(5,0,ETF(“QQQ”); and Vol(5,0,ETF(“QQQ”); etc. (or whatever syntax you want to use).
Since there is an ETF that follows every index that anyone can dream up that might affect or respond to the markets, adding the ability to use any ETF as a universe would open a wealth of ideas to test.

Denny :sunglasses:

8

Hi Marco,

I really like the ability to create our own time series. I would add one item - its not an easy one.

For creating a time series, let us use a SIMULATION just like we would use a Sector or Industry. I could run time series on the sim holdings/values/equity curve value/etc…

So I could do AvgBookVal(CarlsSIMNo1) and see the avg book value over time on the graph/listing by week/month/whatever…

I know this would require a level of recursion - first make sure the SIM is current, rerun if not (this could be a flag value), the run the statistics.

Thanks,
Carl