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Strategies & Market Trends : MDA - Market Direction Analysis -- Ignore unavailable to you. Want to Upgrade?

To: John Pitera who wrote (4176)	1/19/1999 9:29:00 AM
From: Les H	Read Replies (1) \| Respond to of 99985

I have several statistical scans, written in TechniFilter, that examine breadth in the market. They can also be run against stock lists such as indexes (NDX, OEX, etc) or against the entire ticker database on the disk. 1) Breadth scan percentages of stocks up in 5 days, 21 days, 63 days, and 1 year percentages of stocks above 10-day, 21-day, 50-day, and 200-day MA The percentages of stocks above moving averages can be used to evaluate trends in breadth by examining the history file of the scan (usually a 500-day history of the statistics) for trends and changes. The percentages of stocks up is used as an alternative to advance-decline line, and also used to evaluate probability of trading success when correlated with other statistical reports, such as what percent of stocks go up in next 5 days or 21 days when 25% or more stocks trigger reversal signals. 2. Reversal scan Percentage of stocks triggering crossover buy signals and percent of stocks triggering crossover sell signals. Reversals in the market is usually identified by several days of strong percent of stocks triggering crossovers, such as 25-30% or more. percentages of crossovers for 8-17-9 MACD, 12-25-9 MACD percentages of crossovers for 9 Stoch, 14 Stoch, 21 Stoch percentages of crossovers for 5 RSI, 9 RSI, 14 RSI The Stochastics and RSI crossovers tend to lead the MACD crossovers by a short period, but generally the buy signals usually are up by 3,4,5, or 10 or more to 1 sell signal in a reversal. Only the 5 RSI has given a strong number of reversals (16% and about 16-to-1 buys over sells). The other reversals are lagging since they have longer time frames. The buys are starting to outnumber the sells on the indicators. The percentage of stocks below the 10-day MA was the only breadth indicator that reached very oversold at around 30%. The other MAs only approached 50% so the market is still technically strong. The 10-day and 21-day percentages of stocks will generally oscillate between 15-30% and 70-85% (unless it is a bear market as in August). I've looked at the Brown-Breakout Ratio, and created the above reports to identify probability of successful trades rather than just a general market buy and sell signal. I have some other reports that examine the common technical signals as the ones above, and create a running history of probability of successful trades for the MACDs, RSIs, and Stochastics. I haven't had a chance to completely evaluate the results. I wish I could break down the statistics in terms of industry groups.