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I can't tell from your message what type of testing you did, but I can see
how it would be correct. As long as your back testing only paid attention
to the direction of the Oscillator and Summation, the results would be the
same.
The results should be different if your testing paid attention to the max
and min values that the Oscillator and Summation could get to.
For example, this year the Summation index had its first reading ever above
4000. This did not indicate anything other than the number of issues on the
NYSE has increased.
Ross Kovacs
> ----------
> From: Earl Adamy[SMTP:eadamy@xxxxxxxxxx]
> Sent: Thursday, August 27, 1998 9:39 AM
> To: omega-list@xxxxxxxxxx
> Subject: Re: McClellan Oscillator
>
> A couple of years ago, I did some back testing of the McOsc using %adv and
> %dec
> as a percentage of total issues instead of #adv and #dec. It was my
> judgement
> that the difference in results over some 30 years did not warrant
> tinkering with
> the original formula.
>
> Earl
>
> -----Original Message-----
> From: Kovacs, Ross R <KOVACSRR@xxxxxxx>
> To: 'ariel@xxxxxxxx' <ariel@xxxxxxxx>; 'fpi@xxxxxxxxxxxx'
> <fpi@xxxxxxxxxxxx>
> Cc: 'omega-list@xxxxxxxxxx' <omega-list@xxxxxxxxxx>
> Date: Friday, August 21, 1998 9:43 AM
> Subject: McClellan Oscillator
>
>
> >The McClellan Oscillator and the McClellan Summation both have a
> fundamental
> >problem: they rely on the difference between two exponential moving
> >averages of advancing and declining issues. As we all know, there has
> been
> >a steady increase in the number of issues traded on the NYSE. Therefore,
> >the Oscillator and Summation indices are moving faster and to greater
> >extremes simply because more issues are traded.
> >
> >The McClellan's who developed their indicators recognize this problem.
> >Although it's not widely publicized, a simple change in definition solves
> >the problem. Don't subtract the difference between the two exponential
> >averages, divide the faster MA by the slower MA. These "adjusted"
> >indicators are far more valuable to anyone who is looking at the
> indicators
> >over many years. For short term traders, it probably doesn't make a
> >difference as long as they know that extreme values are more easily
> reached
> >due to the greater number of issues traded.
> >
> >This adjustment is similar to using a rate of change indicator vs. a
> >momentum indicator.
>
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