Hi Brett,
I think their is an add-on for MetaStock called "Ice" or "Fire" or something like that which will do it. I am not very familiar with it, but hear it works.
Compiling breadth data, however, on more than a few ETFs is more than meets the eye. First it is very time-consuming. Additionally, although the HOLDRS you mention is a unit investment trust and does not change constituents (it only loses them from attrition), most ETFs reflect an index and constituents change frequently. To stay accurate, you really have to check the sponsor list daily.
Or you can subscribe to precompiled historical breadth data at www.masterdata. com. We do all the dirty work for you and you just download the up to date data automatically from our website (downloader provided). A plug-in is provided (no charge) which allows use of the .csv format datafiles directly in MetaStock with no import or conversion. Data includes the advancing and declining issues you need for your Advance-Decline Line and all other traditional breadth statistics plus some new ones. Data starts 1990 or the start date of the index or ETF on 31 major stock indexes and 111 top volume ETFs.
Hope this helps. Good luck.
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Can anyone help me with creating Advance Decline Lines for ETFs. For example, the PPH has the following components:
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