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Seems to fit. The testing I did involved the thee McOsc crossing 0, and 100+-.
When more extreme values are reached, my testing switched to a smoothed version
of the McOsc. I've done no testing of the Summation, however I do pay attention
to it's trend relative to price trend.
Earl
-----Original Message-----
From: Kovacs, Ross R <KOVACSRR@xxxxxxx>
To: 'eadamy@xxxxxxxxxx' <eadamy@xxxxxxxxxx>
Cc: 'omega-list@xxxxxxxxxx' <omega-list@xxxxxxxxxx>
Date: Friday, August 28, 1998 8:43 AM
Subject: FW: McClellan Oscillator
>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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