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Mark,
Interesting study... Why did you decide to handle unchanged volume the way
you are?
What variations of this indicator did you try? For example, did you look
at:
Net Up/(Total - Unchanged)
Up Vol (not net up)/(Total - Unchanged)
Net Up/Net Down
etc?
My real question is: Did you have time to test a number of variations on
this theme or did you test only Net Up/Total?
All the best,
The Omega Man
----- Original Message -----
From: Mark Brown <markbrown@xxxxxxxxxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Sent: Wednesday, June 09, 1999 8:39 AM
Subject: NetVol % Tvol
> Net Up Volume as a Percentage of Total NYSE Volume
>
> Chart http://24.0.100.173/charts/S261.gif uses volume to determine if the
> market is overbought, and thus in danger of a sell-off, or oversold, and
> thus ripe for a rally.
>
> The chart's top clip shows the Standard and Poor's 500 stock index while
the
> bottom clip features net up volume as a percentage of total New York Stock
> Exchange volume. We start the calculation by subtracting the volume for
> stocks which closed lower on the day from the volume for stocks which
closed
> up for the day. This yields the net up volume figure, which is then
> smoothed with a 12-day moving average. Next, the total volume for the New
> York Stock Exchange is likewise smoothed with a 12-day moving average, and
> the ratio of the smoothed net up volume to the smoothed total volume is
> determined.
>
> When net up volume as a percentage of total volume exceeds the upper
bracket
> of 16.3, the demand for stocks is excessive and likely to be followed by a
> period of declining demand. Since we like to go with the flow until it
> reaches an extreme and then reverses, a sell signal is delayed until the
> ratio declines back below the upper bracket, at which point the indicator
> switches into the safety of commercial paper.
>
> Likewise, when the ratio of net up volume to total volume falls below the
> lower bracket of -12.8, the market is under excessive downside pressure
and
> is likely to experience a pickup in demand as soon as the sellers exhaust
> themselves. A buy signal is generated when, after dropping into the
> oversold territory, the indicator rises back above the lower bracket.
>
> As shown by the results in the chart's upper left hand corner, it pays to
> get into the market when conditions are oversold and to get out of the
> market when conditions are overbought.
>
> I am practicing for an online newspaper about Trading I may be writing
for,
> since I have continually been turned down by the big Omega advertising
> magazines. Just think what they have been keeping from you. ; - )
>
> Just the Facts,
> MB and dog
>
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