Composite
breadth data is a measure of what the individual components
of a composite (a market, an index or ETF, etc.) have experienced
in sum total. For example, if 376 of the Standard
and Poor 500 Index constituents experience an increase in
price for the data period, "advances" or "advancing issues"
would be 376.
Traditionally
called "breadth" or "market breadth" data, these statistics
have been compiled for decades on the NYSE, AMEX and NASDAQ
markets. We feel that "composite" or "composite breadth"
data is a more accurate term when speaking of indexes and
ETFs and generally refer to the data as such. Relative
to financial markets, composite breadth data can be compiled
on any grouping of trading securities. Markets, indexes,
mutual funds, exchange traded funds and even your own "basket"
of stocks can provide composite breadth data. Composite
data includes such measures as advancing / declining issues,
advancing / declining volume, new highs / lows, etc.
Until now, however, such data has never been readily available
on anything except the three major exchanges.
Composite Breadth Statistics Currently
Included In Our .csv Datafiles
Click on the help
button for more information about the statistic
and its column in the spreadsheet
Open Price
High Price
Low Price
Close Price
Index/ETF Trade Volume
Equal Weight Open Price
Equal Weight High Price
Equal Weight Low Price
Equal Weight Close Price
Upper Trend Channel
Trend Channel Pivot
Lower Trend Channel
Up Trends
New Uptrends
Down Trends
New Downtrends
Advancing Volume
Declining Volume
Total Component Volume
Advances
Declines
Issues Traded
Issues Unchanged
New Highs
New Lows
New 1st Day Highs
New 1st Day Lows
New Highs - Quarter
New Lows - Quarter
New 1st Day Highs - Quarter
New 1st Day Lows - Quarter
% above 200MA
% above 30MA
% above 18MA
% above 9MA
% above 4MA
Total Stks above 200MA
Total Stks below 200MA
Total Stks equal 200MA
Total Stks above 30MA
Total Stks below 30MA
Total Stks equal 30MA
Total Stks above 18MA
Total Stks below 18ma
Total Stks equal 18MA
Total Stks above 9MA
Total Stks below 9MA
Total Stks equal 9MA
Total Stks above 4MA
Total Stks below 4MA
Total Stks equal 4MA
Index or ETF Open, High,
Low, Close, Trade Volume
Excel
Column
Open Price
D
High Price
E
Low Price
F
Close Price
G
ETF Trade Volume
BB
Description:
Historic price data from 1990 through the current
date (or starting date of the index or ETF if later)
is contained in the composite .csv datafiles.
Only an Exchange Traded Fund can have trade volume.
Volume for indexes is
total component volume.
Index or
ETF Equal Weighted Open, High, Low,
Close
Excel
Column
Equal Weight Open Price
AX
Equal Weight High Price
AY
Equal Weight Low Price
AZ
Equal Weight Close Price
BA
Description:
composite breadth
data is inherently equal weighted, meaning
that every component counts equally in the
totaled composite number. For instance,
if 330 components of the S&P 500 Index gain
for the day, the "advances" composite statistic
is 330. One stock does not carry more
or carry less weight than any other.
On the other hand, the majority of indexes
and ETFs are not equal weighted, but instead,
either price weighted like the Dow Jones
Industrial Average or Cap Weighted like
the S&P 500 Index.
The possibility
therefore exists that, at least to some
extent, using composite data with market
priced indexes and ETFs could be like comparing
apples and oranges. To address this
issue, these values reflect recalculating
historical price history of each index and
ETF as an Equal Weight composite.
For more information about index and ETF
weightings,
click here
(this is a .pdf file).
Historic price
data from 1990 through the current date
(or starting date of the index or ETF if
later) is contained in the composite datafiles.
Use:
Eliminates
any possible weighting method conflict when
using composite breadth data with an index
or ETF. While the overall chart patterns
remain basically the same, price moves are
generally smoother. A large price
move in a heavily weighted component does
not overly impact the index or ETF value
unless other components experience similar
movement. From a technical analysis
point of view, equal weighting might be
considered the ideal weighting methodology
for composites. In any event, the
data is provided at no additional charge.
It is your decision and your decision alone
to use it or not.
Calculation:
For each component:
Relative Component Price
= 100
*
Current Price
Beginning Current Year Close
Price
For the parent
index or ETF
Equal Weighted Composite Price
=
Total of Relative Component
Prices (above)
Number of Components Traded
This calculation
is performed on the open, high, low
and close prices for each data period
to create the historical price file.
A proprietary indicator identifying the current
trend of the subject security. Historic data
from 1990 through the current date (or starting
date of the index or ETF if later) is contained
in the composite datafiles.
Click
Here for
an example of this indicator.
Use:
An old market axiom is "Follow the Trend".
This is true, but also as trends age there is a
growing certainty of an eventual reversal.
Readily "seeing" the current trend may provide opportunities
for entering positions earlier to take advantage
of such reversals in aging trends. In any
case, knowing the current trend keeps trading perspective.
Closes above the middle pivot line (red line on
the chart) are defined as an uptrend, while closes
below this line are indicative of a downtrend.
The above described MasterDATA Trend Channel Indicator
is calculated for each component issue of the subject
index or ETF. This information is then compiled
to determine the number of issues within the index
or ETF that are in new or continuing uptrends or
new or continuing downtrends for any given period.
Historic data from 1990 forward through the current
date (or starting date of the index or ETF if later)
is contained in the datafiles.
Click
Here for
an example of using this statistic. The indicator
is expressed in terms of percentage.
Use:
If knowing the current trend of the subject index
or ETF is important, knowing the current trend of
every component issue within that index or ETF provides
tremendous insight into the "internals" of what
is happening. Overbought and oversold conditions
are readily identified as well as potential Index
turning points and likelihood of a continuing trend.
Index/ETF Volume -
Advancing, Declining and Total Volume Of All Component
Issues
Excel
Column
Advancing Volume
S
Declining Volume
R
Total Component Volume
O
Description:
The total advancing, declining or combined volume
of all component stocks within the index or ETF.
While this volume data is readily available from
other sources for the NYSE, AMEX and NASDAQ composites,
it is available here for all indices and ETFs followed
and contained not only in the composite datafiles,
but also total component volume is contained in
the historical MetaStock format price datafiles
for all indexes and ETFs followed.
Click
Here for
an example of advancing and declining volume used
to calculate two indicators, the McClellan Volume
Oscillator & Volume Summation Index.
Use:
Total advancing, declining and combined index/ETF
volume can say a great deal about the current movement
and conviction of the market index especially relative
to historical volume. This statistic is used
in many composite indicators. These compiled
statistics are used in calculating the index or
ETF McClellan Volume Oscillator and Volume Summation
Index, TRIN, Arms Index, Open Arms Index, Climactic
Volume Oscillator (CVI), etc.
Total Components Advancing, Declining, Unchanged
and Traded
Excel
Column
Advances
P
Decline
Q
Issues Traded
V
Issues Unchanged
W
Description:
The total number of advancing, declining, unchanged
and traded component issues is calculated for the
index or ETF for the given data period. Historic
data from 1990 forward through the current date
(or starting date of the index or ETF if later)
is contained in the datafile.
Click
Here for
an example of these values used to calculate two
indicators, the McClellan Oscillator & Summation
Index.
Use:
This compiled statistic is used in calculating the
index or ETF Advance/Decline line (AD Line), McClellan
Oscillator & Summation Index, TRIN, Arms Index,
Open Arms Index, etc.
The total number of new one year highs or new one
year lows in component issues is calculated for
the index or ETF for the given data period.
Historic data from 1990 forward through the current
date (or starting date of the index or ETF if later)
is contained in the datafile.
Click
Here for
an example of these values used to calculate an
indicator.
Total components with new 1st day one year highs
or lows is calculated for the index or ETF by counting
the total number of components setting new price
highs or lows for the first time with no immediately
previous new price high or low.
Use:
There is a definite tendency that one new high will
be followed by subsequent new highs. New highs
often mark the beginning or end of a trend.
Both also apply for new lows.
The total number of new one quarter highs or new
one quarter lows in component issues is calculated
for the index or ETF for the given data period.
Historic data from 1990 forward through the current
date (or starting date of the index or ETF if later)
is contained in the datafile. Used exactly
like new one year highs and lows above
Total components with new 1st day one quarter highs
or lows is calculated for the index or ETF by counting
the total number of components setting new price
highs or lows for the first time with no immediately
previous new price high or low.
Use:
There is a definite tendency that one new high will
be followed by subsequent new highs. New highs
often mark the beginning or end of a trend.
Both also apply for new lows.
Component Closes Above Specified
Period Moving Averages
Excel
Column
Excel
Column
% above 200MA
X
% above 30MA
Y
% above 18MA
Z
% above 9MA
AA
% above 4MA
AB
Total Stks above 200MA
AC
Total Stks below 200MA
AD
Total Stks equal 200MA
AE
Total Stks above 30MA
AF
Total Stks below 30MA
AG
Total Stks equal 30MA
AH
Total Stks above 18MA
AI
Total Stks below 18MA
AJ
Total Stks equal 18MA
AK
Total Stks above 9MA
AL
Total Stks below 9MA
AM
Total Stks equal 9MA
AN
Total Stks above 4MA
AO
Total Stks below 4MA
AP
Total Stks equal 4MA
AQ
Description:
A count of component issues above a specified moving
average expressed as a percentage or provided as
an actual count of components above, below or equal
to that moving average. Historic data from
1990 forward through the current date (or starting
date of the index or ETF if later) is contained
in the datafile.
Use:
The percentage of component issues above their 200
day moving average is considered a reliable indicator
of long term movement in the securities market.
When above 70% and subsequently declining below
70% it is considered to mean that the long term
direction of the market has turned bearish.
Vice-versa, when below 30% and subsequently rising
above 30% a bullish indication is given.
Click
Here for
an example of this indicator.
The same chart (lower inside window) displays the
percentage of components above their 4 day (green
line), 9 day (black line), 18 day (pink line) and
30 day (blue line) moving averages. The shorter
term moving averages provide remarkable insight
into the shorter term internal strength or weakness
of the index or ETF. Developing and deteriorating
trends may be detected very early.
Disclaimer: This material is for your private
information. We are not soliciting any action based upon
it. Opinions expressed are present opinions only. The
material is based upon information considered reliable,
but we do not represent that is accurate or complete,
and it should not be relied upon as such. We, or persons
involved in the preparation or issuance of this material
may, from time to time, have long or short positions in,
and buy or sell the securities or options of companies
mentioned herein.
button for more information about the statistic
and its column in the spreadsheet