Advancers-Decliners Superimposed on Price

B

bcavender

I have seen a graph of #Advancers/#Decliners superimposed upon a price chart which I believe is supposed to be showing how the individual stock's price is performing relative to the market. Presumably, if the stock's price is far below or above the A/D market line...it communicates that it is underperforming the market or vice versa. Since all stocks revert to the mean (sooner or later), you can set up or confirm a trade accordingly.

An easy-to-see example of this can be viewed at BigCharts.com by selecting A/D line in the "Upper Indicators" dropdown box for your favorite stock. I have mostly applied this as a confirming parameter for entries and exits with good results.

Question: Can anyone explain how this A/D indicator is computed and overlaid on an individual stock's price to make it "price" comparable to market breadth?

Your comments and suggestions are greatly appreciated!

Bruce
 
In Amibroker we use the AddToComposite() function for easy AdvIssues, DecIssues, UnchIssues calculation.
[you do not need separate download from another source].
The logic is to count the # of stocks with Close>previous Close, place the results in a daily function and then plot it, alone or together with others, superimposed or not.
As for the plotting overlay, use
styleOwnScale = 32768 - plot is using independent scaling
For more details, see
http://www.amibroker.com/guide/afl/afl_view.php?id=7
http://www.amibroker.com/guide/afl/afl_view.php?id=114
 
Bruce
I am looking forward to this thread since i like multivariate concepts. we are trading pairs on a daily basis. we have a lot of IT lying around unused in that field and I am always looking for new ideas, which are rare on ET.


peace
 
A/D is the average of up and down issues. It shows you the overall trend of the market. The way you should use it is if the trend is positive find the sector that is the strongest then trade only the stocks in that sector that are leading it. Use any indicator on a 1 min chart to buy oversold conditions.
 
TSOKAKIS....
Thanks for the references...I appreciate that.

I just used the market stats for advancers/decliners from my data service (Quote.com - ADVN.NY and DECL.NY) to save the compute overhead.

My first attempt used the rate of change command like the example, but the resulting graph was quite different to what I had used successfully at BigCharts. I thought about how the line changed day to day and remembered that it was just the net change...so my final equation was no more than accumulating the daily differences in advancing and declining volume:

ADDEC=Cum(Foreign ( "ADVN.NY", "V" ) - Foreign("DECL.NY", "V" ));

I scaled the range of the ADDEC array to overlay the range of the price and added a 1 day simple moving average to take the bumps out...and it seems to track what I am used to using pretty well. More time will tell. I will probably tweak it, but now I am 97% there.

Tnx!

Bruce
 
MAN,

I love the multivariate world as well. I want to hook up with like-thinkers. There are not many neighborhood folks into trading...let alone automation of the cash generation process. I am looking to speed up my trading and miss a whole lot fewer trading ops by automating my prospecting process.

I am always looking for direct trade indications as well as other variables that can give immediate support (or warning) about the trade signal.

I like the A/D on price because it gives a fairly good probablity (with one quick glance) of the stock being oversold, overbought or at the market. I think stock far from the market mean in thse plots can be much less risky since all stock prices 'eventually' revert to the mean.

I am experimenting now with dual time period Williams%R. One that is 14 daily bars and a second that works 5 days of 15 minute bars. My thinking is to use the daily to flag something interesting and use the 15 minute %R to actually enter the trade. I used to enter a trade with the long %R looking good, but without looking at the shorter version I would randomly end up with a 25-50 cent 'sting' in the wrong direction...and it might be a few days before the stock finally catches traction and moves my way. I used to have two copies of BigCharts open to do this and now I am automating this in AmiBroker.

AMI has a medium learning curve and is quite powerful for a $200 real time package. I have used some of the more expensive SW that just didn't allow me the flex I needed. Tomasz is great for support...I don't know how he does it.

My learning curve is far from complete so I am still struggling a little to get AMI to do what I want because at present you cannot bypass the display controls to precisely set the number of bars and the time frame of each bar in a chart. What I would really like to do is have two price plots open in a single sheet....one top (6mo daily with 14day %R and the other (same stock) underneath with 5 days of 15 min bars.

Having the ability to control the x-axis under program control would be a super addition to AmiBroker. I need this because I don't have time to be fidding with timeframe changes when I am pouring through 50 alerts at 9:45am....I need one-click to the exact data I need to see so I can get my trading volume up without losing quality. I have missed way way too many good trades fiddling with the computer to get at the data I need to trade.

Barring a "daily" interval showing up on the 'Timeframe' command in the 3rd party section....I suspect to make this work I will have to write something in VisualBasic..which probably has a lot worse curve.

Your mention of IT resources intrigues me...drop me a note to the address below and tell me the highlights of what you are into (if you do not want to discuss it here.)

Tnx!
Bruce
 
Quote from bcavender:

TSOKAKIS....
Thanks for the references...I appreciate that.

I just used the market stats for advancers/decliners from my data service (Quote.com - ADVN.NY and DECL.NY) to save the compute overhead.

My first attempt used the rate of change command like the example, but the resulting graph was quite different to what I had used successfully at BigCharts. I thought about how the line changed day to day and remembered that it was just the net change...so my final equation was no more than accumulating the daily differences in advancing and declining volume:

ADDEC=Cum(Foreign ( "ADVN.NY", "V" ) - Foreign("DECL.NY", "V" ));

I scaled the range of the ADDEC array to overlay the range of the price and added a 1 day simple moving average to take the bumps out...and it seems to track what I am used to using pretty well. More time will tell. I will probably tweak it, but now I am 97% there.

Tnx!

Bruce
More...

Note that A/D is a simple, introductory, multivariate market analysis. The great advantage is found in OSIs, OBIs and MeanIndicators to have a high resolution market picture.
See, among the others, the ET
http://www.elitetrader.com/vb/showthread.php?s=&threadid=15506
 
Dimitris,

I hadn't seen this concept before, but I see its strength. The A/D basically is a 'low res' feel for the market, but it can't tell if 1000 shares advanced by one dollar or one penny...whereas the population of stocks with RSI>65 communicates a much higher level of information. I like it.

Quick questions:

I primarily trade the NYSE and creating a dbase and computing all the RSI or StochD for the composite would be resource intensive. Can you suggest the most efficient way to approach this in AmiBroker?

In the RSIOBI.gif, the green indicator is the RSIOBI. Which is the OSI?

What is the RsiMedium indicator and what is it telling us?

Thanks for your assistance!!

Bruce
 
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