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Just from my trading experience on using both
EOD and real time breadth, I can say that there is
a lot more to market breadth than the simple concept
of just Adv/Dec data.
In fact, oddball that MB disclosed is just the entrance
to a world that is way more complex and powerful than
classic price driven modelling.
For example, to make a powerful breadth model for
use in real time, you do not need to use all the market data,
nor is it necessary to construct an exact match of all symbols
that compose the index.
The key concept of market breadth is statistical voting.
Each component or data used just represents one vote that particular
data has in the final tally. A properly constructed breadth
model can "mean" revert consistently over time and can form
the proper distribution required for that particular statistics.
Thus with at least 35 stocks or more, with proper transformation of
the data (aka your indicators), you can construct something pretty
impressive in no time. This is formally known as indirect normalization
of a time series, nothing more than textbook application.
Lawrence Chan
--- Bill Wynne <tradewynne@xxxxxxxxxxx> wrote:
> >I don't know about you but I don't fly
> >my plane or drive my car on data that's only 84%
> >relevant - I want to be as near 100% as possible.
>
> The fact that breadth comes from a broader and different
> base than the index does not necessarily make it irrelevant.
> Try running the Oddball on the NDX with NASDAQ ADVQ and
> then with NYSE's ADV. You might guess the NYSE breadth is
> less relevant to the NDX than the NASDAQ's, and in some
> cases it may be, but...look for yourself.
>
> >Unfortunately there is not a intra day index symbol
> >from DTN or any data provider I know of for ADV issues
> >of S&P 500 stocks as well and advance decline line for
> >same.
>
> Good luck! I managed to get a few dozen list members to
> lobby DTN (circa 1998-99?) about including ADV /DECL data
> (which they were already getting) in their feed. I even
> got calls from DTN's top tech. It took several years for
> them to break out the A/D data. In this case DTN will have
> to create the index themselves. Don't hold your breadth.
>
> >This issue needs some serious researching.
>
> Agreed,
>
> BW
>
>
> >From: Shadowover BillCruz <trad_delist_payback@xxxxxxxxx>
> >To: omega-list@xxxxxxxxxx
> >Subject: OddBall traders - Check this out
> >Date: Wed, 2 Jan 2002 06:29:17 -0800 (PST)
> >
> >OddBall Traders . . .
> >
> >We are not trading some fantasy NYSE combined futures,
> >we are supposed to be trading specifically the S&P 500
> >Futures.
> >
> >There may be evidence that ADV issues of S&P 500
> >stocks (only) may give more accurate reversals for S&P
> >500 Futures than the classic ADV issues of NYSE. I
> >have no interest in TickQuest, and I'm certainly not
> >laying down $2,500 for their product - I only submit
> >their web page as an example (they show charts/details
> >to backup their assertions):
> >
> >http://www.tickquest.com/NeoBreadth/classicmarketbreadth.html
> >
> >Apparently this company above sells a software product
> >named NeoBreadth for $2,500 and they expect you to
> >collect the data yourself from like Worden Bros TC
> >2000 feed (about $40 per month) - if your data
> >provider does not already give you access to at least
> >delayed stocks (not EOD). The DTN Mark Brown data feed
> >deal does not include delayed stocks, or I would
> >already be collecting data on all 500 S&P stocks and
> >trying to see how I could run some code to extract ADV
> >issues of just those 500 S&P stocks.
> >
> >What gives more stead to this argument is that
> >according to statistics on the Standard and Poors web
> >page below - - - almost 16% of the S&P 500 is not
> >even listed on the NYSE (77 of the 500 stocks are
> >Nasdaq stocks). I don't know about you but I don't fly
> >my plane or drive my car on data that's only 84%
> >relevant - I want to be as near 100% as possible.
> >http://www.spglobal.com/indexmain500_data.html
> >
> >Unfortunately there is not a intra day index symbol
> >from DTN or any data provider I know of for ADV issues
> >of S&P 500 stocks as well and advance decline line for
> >same. It's highly possible that if enough traders on
> >DTN feed start making requests to DTN for such index
> >symbols they would start providing them. This issue
> >needs some serious researching.
> >
> >. . . and if you want to criticize this idea then I
> >suggest you provide specific concrete examples, charts
> >and data to back up your claims.
> >
> >Shadow
> >
>
>
=====
Lawrence Chan http://www.tickquest.com
Transform market data into opportunities
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