Best Thread Market Breadth

[isatrader]

Attached is the updated major NYSE Bullish Percent and Moving Average Breadth charts plus the data table. It's still fairly green across the board this week, except for the short term moving average chart for the DOW which reversed back to a column of Os on the 7th. All of the Moving Average Breadth charts are still near the tops of their normal ranges and so risk continues to increase.

 

[isatrader]

Attached is the other breadth charts I monitor. Advance Decline, Advances-Declines/NYSE Total Volume, Advance Decline Cumulative Volume, Advance Decline Volume Ratio, Momentum Index, 10-Day MA Advance Decline Oscillator, New High New Lows, S&P 500 / 10 & 30 Year Treasuries Ratios, Put Call Ratio, S&P 500 divided by Equity Options Ratio, the volatility breadth charts.

A few notes:
The 10-Day MA Advance Decline Oscillator is approaching the top of it's normal range.
Advances-Declines/NYSE Total Volume continues to push to new highs as does the cumulative New High New Lows chart, which has gone a bit parabolic the last few weeks with very high readings on the daily chart.
The Advance Decline Volume Ratio has had very low readings since the very large move at the start of the year.
The Put Call Ratio is close to an extreme reading of call buying over puts.

 

[isatrader]

US Industry Sectors Breadth

Attached is the updated US Industry Sectors Moving Average Breadth charts, which had a more mixed picture last week with sectors continuing higher while five sectors turned slightly lower. The weeks biggest mover was Health Care where an additional 7.86% of the stocks in the sector closed above their 150 day moving averages. Followed by Technology which had a 4.71% increase.

Overall, as you can see from the visual diagram, the sectors as a group continue to move higher, with the majority in the 60-70% range now. Financials and Industrials are the strongest sectors in the 70-80% range and Energy and Health Care are the weakest in the 50-60% range. So by this medium term measure, the broad market isn't yet overbought - as only two of the nine sectors are in the overbought zone. But it doesn't have to get overbought, so I'll just be watching for a reversal of the trend.

Below is the data table for the Percent of Stocks Above 150 Day Moving Average in each sector which I've ordered by relative strength, with the highest to the lowest percentage in each sector. Also attached is the visual diagram of the 9 sectors and the overall NYSE Percentage of Stocks above their 150 day Moving Averages, plus the 1% P&F chart and line chart of the nine sectors.

 

[isatrader]

CBOE Index Put/Call Ratio ($CPCI)

I been looking through the different Put/Call Ratio charts and noticed that the CBOE Index Put/Call Ratio ($CPCI) made an extreme reading of 0.55 on Fridays close which has only been reached once on a weekly close in the last 10 years, which was on 21st December 2007.

The following is taken from stockcharts description of the Index Put/Call Ratio, which I've adapted slightly for this charts data:

"When using the CBOE based indicators, chartists must choose between equity, index or total option volume. In general, index options are associated with professional traders and equity options are associated with non-professional traders. Even though professionals use index options for hedging or directional bets, puts garner a significant portion of total volume for hedging purposes. The chart below shows the CBOE Index Put/Call Ratio ($CPCI) with the 40-week (200 day) moving average. Notice that this ratio is consistently above 1 and the 200-day SMA is at 1.18, which indicates a bias towards puts. This bias is because index options (puts) are used to hedge against a market decline."

 

[isatrader]

New Breadth Chart

I've come up with a new type of custom breadth chart based on the data from the amount of breakouts and breakdowns in the S&P 500. To do it I used the custom scanner on stockcharts and then manually typed the data into a spreadsheet for the amount of P&F double top breakouts each day and the amount of P&F double bottom breakdowns each day. I've inputted six months of data to give me a good starting point and will continue to update it each week.

Here's the code for the advanced scanner if you want to do it yourself:

Double Bottom Breakdowns in S&P 500

[type = stock] and [daily double bottom = 1] and [yesterday's daily double bottom = 0]  and [group is SP500]

Double Top Breakouts in S&P 500

[type = stock] and [daily double top = 1] and [yesterday's daily double top = 0]  and [group is SP500]

It works in much same way as the New High New Lows and Advance Decline data and I've charted it in four ways as each has it's uses. Personally I think the cumulative chart of the breakouts minus the declines with the 20 and 50 day MA is the one of the most useful with crosses below and above the 20 day MA as being the key signals, and breaks above or below swing highs or lows. This can also be seen on the oscillator chart which uses the 20 day MA of the cumulative line as the zero line, and also has it's own 20 day MA for faster signals. So breaks above or below zero are the same as breaks above or below the 20 day MA on the cumulative chart. But it gives a different perspective and is simpler to see divergences.

See what you think...but I think it's going to be a very useful addition to my breadth charts set, and is unique.

 

[isatrader]

US Industry Sectors Breadth

The individual sectors continue to gain strength with more stocks moving above their 150 day moving averages this week as seven of the nine sectors moved higher. The overview of all the sectors can be seen on the sector visual diagram which is getting closer to the top of the normal range which means that risk is increasing.

This weeks strongest movers were Utilities, Consumer Staples and Energy. While the weakest were Health Care and Industrials. Financials still is the strongest sector overall with 78.41% of financial stocks in the NYSE above their 150 day moving averages.

Below is the data table for the Percent of Stocks Above 150 Day Moving Average in each sector which I've ordered by relative strength, with the highest to the lowest percentage in each sector. Also attached is the visual diagram of the 9 sectors and the overall NYSE Percentage of Stocks above their 150 day Moving Averages, plus the 1% P&F chart and line chart of the nine sectors.

 

[isatrader]

Attached is the updated major NYSE Bullish Percent and Moving Average Breadth charts plus the data table. All of the major breadth charts moved higher again this week but continue to push to extreme high levels at the top of their ranges. The average for the combined moving average charts is now 84.63% - which is an extremely high reading and means that the risk is now very high as the market sentiment is extremely one sided in favour of the bulls. They say that the market swings between phases of fear and greed, and from this data it's clear that we are at high levels of greed currently - so it will be interesting to see how long it lasts before the market swings back the other way. But the increased risk means that we should be considering our strategies for when the market does next turn towards the other end of the spectrum.

In terms of comparing levels to give the current percentages some context, on the short term and medium term charts this level was last reached in February 2012. And on the long term chart it was last reached in January 2011. So from those time frames price was able to move a bit higher for a while after, but both were the beginnings of the topping process and traded lower for a period in the few months that followed.

 

[isatrader]

...and here are the rest of the weeks breadth charts. I've made a change to the S&P 500 divided by the Put Call ratio chart and have included the separated index options and equity options, as index options are mostly traded by professional traders that use them for hedging and equity options are mostly traded by retail traders - so they give a different perspective. I've also added as a one off the 2 year inverse put/call ratio 10 day MA chart which is bullish when above 1 and vice versa.

 

[malaguti]

Re: New Breadth Chart

I've come up with a new type of custom breadth chart based on the data from the amount of breakouts and breakdowns in the S&P 500.
It works in much same way as the New High New Lows and Advance Decline data and I've charted it in four ways as each has it's uses. Personally I think the cumulative chart of the breakouts minus the declines with the 20 and 50 day MA is the one of the most useful with crosses below and above the 20 day MA as being the key signals, and breaks above or below swing highs or lows. This can also be seen on the oscillator chart which uses the 20 day MA of the cumulative line as the zero line, and also has it's own 20 day MA for faster signals.

What a unique "indicator" and how funny that the SMA lags even this. Great, if only I didnt have to wade through hundred of other charts. You've never thought of an "executive summary" as it were for your posts?
But absolutely great nonetheless. Im not sure updata has this functionality for my FTSE100 but I'm certainly gonna do some digging around based on your work. Inspiring!

 

[isatrader]

Re: New Breadth Chart

What a unique "indicator" and how funny that the SMA lags even this. Great, if only I didnt have to wade through hundred of other charts. You've never thought of an "executive summary" as it were for your posts?
But absolutely great nonetheless. Im not sure updata has this functionality for my FTSE100 but I'm certainly gonna do some digging around based on your work. Inspiring!

lol, yeah I do post a lot of charts, sorry. I just like to look at the weight of evidence across the board each week to help me with direction. So the point is that no one chart is more important than another, but what they are saying as a combined whole.

I'll put the cumulative P&F breakouts-breakdowns chart at the end of the set of charts that I just posted. I post these each weekend mostly on a Saturday, so you'll know where to look from now on. But I'm glad you and Tim like it and I appreciate the kind words.

With regards to whether updata can do it for the UK stocks. You might want to do it for more than just the FTSE 100 to give you a bigger sample size as this will decrease whipsaws. So at least the FTSE 350 imo, as that will give you a less volatile chart. But I'll be interested to see the results if you do it and be happy for you to post it on here.

 

[malaguti]

Re: New Breadth Chart

lol, yeah I do post a lot of charts, sorry. I just like to look at the weight of evidence across the board each week to help me with direction. So the point is that no one chart is more important than another, but what they are saying as a combined whole.

I'll put the cumulative P&F breakouts-breakdowns chart at the end of the set of charts that I just posted. I post these each weekend mostly on a Saturday, so you'll know where to look from now on. But I'm glad you and Tim like it and I appreciate the kind words.

With regards to whether updata can do it for the UK stocks. You might want to do it for more than just the FTSE 100 to give you a bigger sample size as this will decrease whipsaws. So at least the FTSE 350 imo, as that will give you a less volatile chart. But I'll be interested to see the results if you do it and be happy for you to post it on here.

Good advice re 350, thanks ISA
Should I get something working I'll be happy to post. Thanks again

 

[isatrader]

Interesting to see the very short term percentage of stocks above their 20 day moving averages chart closed back below it's 30 week MA today, which has itself flattened out. So this measure is starting to diverge with the market price action which pushed to new highs again today.

 

[isatrader]

Attached is the bulk of the weekly breadth charts that I follow. I've included my new custom breadth charts that I came up with last week Post#185 - that are based on the data from the amount of breakouts and breakdowns in the S&P 500 using point and figure double top and double bottom buy and sell signals. Of which the Breakouts minus the Breakdowns Oscillator is showing a small divergence with the price action in the S&P 500. But the cumulative chart continues in it's uptrend above it's 20 day MA, and the breakouts minus the breakdowns chart shows that the market has been exceptionally one sided in favour of breakouts since the November low.

The bullishness continues across the board really with very few negative signs this week, which in itself seems like a bit of a red flag as it's incredibly one sided. But my plan is to follow the "weight of evidence" - which from these charts suggests to still be long currently, but with an every increasing eye on risk management.

 

[isatrader]

US Industry Sectors Breadth

Another strong week in the sector breadth charts with seven of the nine sectors moving higher again, which pushed two of the sectors (Consumer Discretionary and Utilities) above the 70% levels to join Industrials, Financials and Consumer Staples in the upper higher risk zone. So five of the nine sectors are now in the overbought zone.

This weeks strongest movers were Utilities and Energy. While the weakest were Basic Materials and Financials. Which means that Industrials is now the strongest sector overall with 79.78% of industrial stocks in the NYSE above their 150 day moving averages.

Below is the data table for the Percent of Stocks Above 150 Day Moving Average in each sector which I've ordered by relative strength, with the highest to the lowest percentage in each sector. Also attached is the visual diagram of the 9 sectors and the overall NYSE Percentage of Stocks above their 150 day Moving Averages, plus the 1% P&F chart and line chart of the nine sectors.

 

[isatrader]

Attached is the long, medium and short term moving average breadth charts and the NYSE Bullish Percent Index.

All stay on Bull Confirmed status for another week, but they continue to climb the risk scale, with three of the four short term moving average breadth charts now above 90%. Which is an extreme reading that isn't seen very often.

 

[isatrader]

Sentiment Breadth Charts

I came across the The AAII Investor Sentiment Survey which measures the percentage of individual investors who are bullish, bearish, and neutral on the stock market for the next six months; individuals are polled from the ranks of the AAII membership on a weekly basis and they can only vote once per week. The survey's data been kept since mid 1987 and so I downloaded the historical data and applied some standard techniques to it to create a few sentiment based breadth charts, and to see if they have any value.

The first chart covers all the years to 1987 and is the bullish minus the bearish count on a weekly basis, but smoothed out by a 10 week moving average. Which appears to be most useful at extremes. See below:

The second chart is the cumulative result of the bullish minus the bearish count each week, with a 10 week moving average as a signal line. I've only shown the last 4 years as it's hard to see on the all years chart, but it looks to do a reasonable job of identifying the trend and so might make a useful addition, but missed the 2009 turnaround as it stayed negative through most of it, but has been more useful since 2010. So it's not something to use alone, but might be interesting to look at every now and again.

 

[isatrader]

Today's price action caused a few of the more sensitive breadth indicators to begin showing signs of some potential topping action.

 

[isatrader]

Attached is this weeks breadth charts which again on average continue to be bullish for another week. I highlighted the small divergences beginning in some of the more sensitive charts yesterday, but otherwise there's no signs in these charts that the uptrend has run out of steam just yet - even though it wobbled a bit this week - as broad participation was clear on Friday's NYSE Advancing Volume data ($NYUPV/$NYDNV) and the cumulative P&F breakouts minus breakdowns continuing to new highs, as well as a number of the other charts as you will see below.

 

[isatrader]

US Industry Sectors Breadth

The sector breadth charts continued mostly higher for another week with seven of the nine sectors advancing again, and the two that declined only making a minor move lower - less than 1% each. Financials recaptures the top spot after a very strong week, moving up 4.39% to now have 81.23% of stocks in the financial sector in the US above their 150 day moving averages. The strongest mover of the week though was the Utilities sector which has recovered strongly over the last month to reach the upper risk zone of the range.

The sectors visual shows the makeup of the US market currently. Two sectors moved up above the 80% level this week, and the broad range continues to be between the 60-80% level.

I've also continued my refinement of the line chart and think a 10 week weighted moving average will be more useful than the 30 week I was using. For the buy and sell signals I'm going to keep it simple and make a buy signal when the percentage is above the 10 week WMA and the 10 week WMA is also rising. So it's not a buy until the 10 week WMA turns ups as well, and vice versa for sell signals.

Below is the data table for the Percent of Stocks Above 150 Day Moving Average in each sector which I've ordered by relative strength, with the highest to the lowest percentage in each sector. Also attached is the visual diagram of the 9 sectors and the overall NYSE Percentage of Stocks above their 150 day Moving Averages, plus the 1% P&F chart and line chart of the nine sectors.

 

[isatrader]

Here's the final set of charts for the weekend update. Attached is the long, medium and short term moving average breadth charts and the NYSE Bullish Percent Index. All stay on Bull Confirmed status once more, but as before risk continues to increase as the market is very one sided and at the top of it's range.