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Hi Ross.
Thank you. A good suggestion and will do. This site & the computer program
that generates all the site reports and data started from scratch last
November. Currently, I am working on developing the MetaStock version into
a full fledged plug in using the MetaStock Developer's Kit. That will
simplify ease of use and maintenance substantially not only for users, but
for me. I am holding off on adding anything else until this is done because
it will change everything (indicator names, etc.). Hopefully, I will
accomplish this important step in the next few weeks and then will start
developing not only additional indicators of interest, but also trading
signals. Although I will (and should) add the ratio adjusted McClellan
indicators, I will probably keep the existing version which is the one
Sherman & Tom McClellan (developers of the indicator) still prefer.
Best,
Larry Carhartt
Index & ETF Component Data
www.MasterDATA.com
lc@xxxxxxxxxxxxxx
818-701-6686
-----Original Message-----
From: jawjahtek [mailto:jawjahtek@xxxxxxxxx]
Sent: Sunday, August 15, 2004 6:28 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Re: McClellan Summation Index
Larry,
You have an interesting site.
You may want to consider the ratio adjusted version of the McClellan
oscillator and index. The ratio adjusted version has been described
in a number of places, here is Carl Swenlin's description.
Ross
RATIO ADJUSTED McCLELLAN OSCILLATOR CALCULATION
The increasing number of issues traded on the NYSE over the years has
caused the McClellan Oscillator and other breadth indicators to reach
greater high and low extremes over the years, but these new record
highs and lows did not accurately reflect the true internal condition
of the market.
For example, let's compare the 1968-70 and 1998 Bear Markets,
representing declines of about 36% and 20% respectively. Even though
the 1968-70 decline was much more severe, the McClellan Summation
Index readings (traditional calculation) were -2252 for 1970 and - 3526 for
1998, giving the false impression that the 1998 Bear Market
was worse than 1968-70. Using a ratio-adjusted calculation the
Summation Index reading for the 1970 low was -2402 compared to the
1998 low of -1444, clearly reflecting the proportional relationships
of the two bear markets, and making it possible to make an accurate
historical comparison.
This is an important change. For McClellan Oscillator aficionados,
there are two basic differences in the calculations. First, the basic
input for the ratio-adjusted version is no longer the daily advances
minus declines. Rather you (1) subtract declines from advances, (2)
divide the result by the total of advances plus declines, and (3)
multiply that result by 1000. (Multiplying by 1000 is simply cosmetic
and lets us work with whole numbers instead of decimals.) The rest of
the calculations for the Oscillator are the same. The second
difference is that zero (0) is now considered neutral for the
Summation Index, so you no longer begin with 1000 in your Summation Index
calculation.
--- In equismetastock@xxxxxxxxxxxxxxx, "Larry Carhartt" <lc@xxxx>
wrote:
> By the way, in addition to the data necessary to compute the
Summation index
> on the NYSE, AMEX and NASDAQ, you can also download similar data
for many
> major indexes and sector ETFs at my site
(http://www.masterdata.com). These
> text datafiles already contain the proper MetaStock headers so
import is
> very easy. I agree that the Summation index is very helpful for
the market
> overall, but is also just as enlightening and maybe more so on
these more
> defined composites both individually and as a whole. When we
recently saw
> the various sectors deteriorate one by one within the markets it
gave great
> insight as to the likelihood that the overall market would
eventually
> follow. It did. Strengthening will show itself eventually, but,
perhaps,
> not just yet.
>
> Best,
>
> Larry Carhartt
> Index & ETF Component Data
> www.MasterDATA.com
> lc@xxxx
> 818-701-6686
>
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