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Broad Market Indicators

For MetaStock 9.0 (and higher) Users Manual Version 1.0

All Rights Reserved Copyright 2004 Printed in the U.S.A. Equis International, Inc. 90 South 400 West Suite 620 Salt Lake City, UT 84101

Equis and MetaStock are registered trademarks of Equis International. Microsoft Windows, Microsoft Windows 95 and 98, and Microsoft Explorer are trademarks of Microsoft Corporation. All other product names or services mentioned are trademarks or registered trademarks of their respective owners. This product is not a recommendation to buy or sell, but rather a guideline to interpreting the specified analysis methods. This information should only be used by investors who are aware of the risk inherent in securities trading. Equis International accept s no liability whatsoever for any loss arising from any use of this product or its contents.

Contents
Broad Market Indicators BM Monetary Indicators 1 3

BM Monetary 13 week T-bill yield ...........................................................................................3 BM Monetary 13 week T-bill yield Formula...............................................................3 BM Monetary 26 week T-bill yield ...........................................................................................3 BM Monetary 26 week T-bill yield Formula...............................................................3 BM Monetary Composite Index Short Term .............................................................................3 BM Monetary Composite Index Short Term Formula.................................................4 BM Monetary Composite Index Medium Term ........................................................................4 BM Monetary Composite Index Medium Term Formula............................................5 BM Monetary Euro ....................................................................................................................6 BM Monetary Euro Formula .......................................................................................6 BM Monetary Fed Funds Rate...................................................................................................6 BM Monetary Fed Funds Rate Formula ......................................................................6 BM Monetary Gold / Silver Ratio..............................................................................................6 BM Monetary Gold / Silver Ratio Formula.................................................................6 BM Monetary Interest Rate ROC ..............................................................................................6 BM Monetary Interest Rate ROC Formula..................................................................6 BM Monetary Japanese Yen ......................................................................................................7 BM Monetary Japanese Yen Formula .........................................................................7 BM Monetary Prime Rate ..........................................................................................................7 BM Monetary Prime Rate Formula .............................................................................7 BM Monetary T-bill Yield Spread.............................................................................................7 BM Monetary T-bill Yield Spread Formula ................................................................7

BM NASDAQ Indicators

BM NASDAQ Absolute Breadth Index.....................................................................................9 BM NASDAQ Absolute Breadth Index Formula........................................................9 BM NASDAQ Advance/Decline Line.......................................................................................9 BM NASDAQ Advance/Decline Line Formula ........................................................10 BM NASDAQ Advance/Decline Ratio ...................................................................................10 BM NASDAQ Advance/Decline Ratio Formula.......................................................10 BM NASDAQ Advancing - Declining Issues .........................................................................10 BM NASDAQ Advancing - Declining Issues Formula.............................................10 BM NASDAQ Advancing Issues ............................................................................................11
Contents i

BM NASDAQ Advancing Issues Formula................................................................11 BM NASDAQ Advancing Volume .........................................................................................11 BM NASDAQ Advancing Volume Formula.............................................................11 BM NASDAQ Breadth Thrust.................................................................................................11 BM NASDAQ Breadth Thrust Formula ....................................................................11 BM NASDAQ Changed Volume.............................................................................................11 BM NASDAQ Changed Volume Formula ................................................................12 BM NASDAQ Composite Tape Index - Medium Term ..........................................................12 BM NASDAQ Composite Tape Index - Medium Term Formula .............................12 BM NASDAQ Composite Tape Index - Short Term...............................................................13 BM NASDAQ Composite Tape Index - Short Term Formula ..................................14 BM NASDAQ Cumulative Volume Index ..............................................................................14 BM NASDAQ Cumulative Volume Index Formula..................................................15 BM NASDAQ Declining Issues ..............................................................................................15 BM NASDAQ Declining Issues Formula..................................................................15 BM NASDAQ Declining Volume ...........................................................................................15 BM NASDAQ Declining Volume Formula...............................................................15 BM NASDAQ MACD.............................................................................................................15 BM NASDAQ MACD Formula ................................................................................16 BM NASDAQ McClellan Oscillator .......................................................................................16 BM NASDAQ McClellan Oscillator Formula...........................................................16 BM NASDAQ McClellan Summation.....................................................................................16 BM NASDAQ McClellan Summation Formula ........................................................16 BM NASDAQ Negative Volume Index ..................................................................................16 BM NASDAQ Negative Volume Index Formula......................................................16 BM NASDAQ New Highs - New Lows Cumulative ..............................................................17 BM NASDAQ New Highs - New Lows Cumulative Formula..................................17 BM NASDAQ New Highs - New Lows Ratio ........................................................................17 BM NASDAQ New Highs - New Lows Ratio Formula............................................17 BM NASDAQ New Highs - New Lows ..................................................................................17 BM NASDAQ New Highs - New Lows Formula .....................................................18 BM NASDAQ New Highs.......................................................................................................18 BM NASDAQ New Highs Formula ..........................................................................18 BM NASDAQ New Lows .......................................................................................................18 BM NASDAQ New Lows Formula...........................................................................18 BM NASDAQ On Balance Volume ........................................................................................18 BM NASDAQ On Balance Volume Formula............................................................18 BM NASDAQ Open-10 TRIN ................................................................................................18 BM NASDAQ Open-10 TRIN Formula....................................................................18 BM NASDAQ Overbought/Oversold ......................................................................................19 BM NASDAQ Overbought/Oversold Formula .........................................................19 BM NASDAQ Positive Volume Index ....................................................................................19 BM NASDAQ Positive Volume Index Formula .......................................................19 BM NASDAQ Rate of Change (Percent) ................................................................................19 BM NASDAQ Rate of Change (Percent) Formula....................................................20 BM NASDAQ Rate of Change (Points) ..................................................................................20 BM NASDAQ Rate of Change (Points) Formula......................................................20 BM NASDAQ Relative Strength Index ...................................................................................20
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BM NASDAQ Relative Strength Index Formula ......................................................20 BM NASDAQ STIX................................................................................................................20 BM NASDAQ STIX Formula ...................................................................................21 BM NASDAQ Stochastic Oscillator........................................................................................21 BM NASDAQ Stochastic Oscillator Formula...........................................................21 BM NASDAQ Total Volume ..................................................................................................21 BM NASDAQ Total Volume Formula......................................................................21 BM NASDAQ Arms Index (TRIN).........................................................................................21 BM NASDAQ Arms Index (TRIN) Formula ............................................................22 BM NASDAQ Unchanged Volume.........................................................................................22 BM NASDAQ Unchanged Volume Formula............................................................22 BM NASDAQ Upside/Downside Ratio ..................................................................................22 BM NASDAQ Upside/Downside Ratio Formula......................................................22 BM NASDAQ Upside/Downside Volume ..............................................................................22 BM NASDAQ Upside/Downside Volume Formula..................................................23

BM NYSE INDICATORS

25

BM NYSE Absolute Breadth Index.........................................................................................25 BM NYSE Absolute Breadth Index Formula ............................................................25 BM NYSE Advance/Decline Line...........................................................................................25 BM NYSE Advance/Decline Line Formula ..............................................................26 BM NYSE Advance/Decline Ratio..........................................................................................26 BM NYSE Advance/Decline Ratio Formula.............................................................26 BM NYSE Advancing - Declining Issues................................................................................26 BM NYSE Advancing - Declining Issues Formula...................................................27 BM NYSE Advancing Issues...................................................................................................27 BM NYSE Advancing Issues Formula......................................................................27 BM NYSE Advancing Volume................................................................................................27 BM NYSE Advancing Volume Formula...................................................................27 BM NYSE Breadth Thrust.......................................................................................................27 BM NYSE Breadth Thrust Formula ..........................................................................27 BM NYSE Changed Volume...................................................................................................27 BM NYSE Changed Volume Formula ......................................................................28 BM NYSE Composite Tape Index - Medium Term ................................................................28 BM NYSE Composite Tape Index - Medium Term Formula ...................................28 BM NYSE Composite Tape Index - Short Term .....................................................................29 BM NYSE Composite Tape Index - Short Term Formula ........................................30 BM NYSE Cumulative Volume Index ....................................................................................31 BM NYSE Cumulative Volume Index Formula........................................................31 BM NYSE Declining Issues ....................................................................................................31 BM NYSE Declining Issues Formula........................................................................31 BM NYSE Declining Volume .................................................................................................31 BM NYSE Declining Volume Formula.....................................................................31 BM NYSE MACD...................................................................................................................31 BM NYSE MACD Formula ......................................................................................32 BM NYSE McClellan Oscillator .............................................................................................32 BM NYSE McClellan Oscillator Formula.................................................................32
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BM NYSE McClellan Summation ...........................................................................................32 BM NYSE McClellan Summation Formula ..............................................................32 BM NYSE Negative Volume Index.........................................................................................32 BM NYSE Negative Volume Index Formula ............................................................32 BM NYSE New Highs - New Lows Cumulative.....................................................................33 BM NYSE New Highs - New Lows Cumulative Formula ........................................33 BM NYSE New Highs - New Lows Ratio...............................................................................33 BM NYSE New Highs - New Lows Ratio Formula..................................................33 BM NYSE New Highs - New Lows ........................................................................................33 BM NYSE New Highs - New Lows Formula ...........................................................34 BM NYSE New Highs.............................................................................................................34 BM NYSE New Highs Formula ................................................................................34 BM NYSE New Lows..............................................................................................................34 BM NYSE New Lows Formula.................................................................................34 BM NYSE On Balance Volume ..............................................................................................34 BM NYSE On Balance Volume Formula..................................................................34 BM NYSE Open-10 Arms Index (TRIN) ................................................................................34 BM NYSE Open-10 Arms Index ( TRIN) Formula ..................................................35 BM NYSE Overbought/Oversold ............................................................................................35 BM NYSE Overbought/Oversold Formula ...............................................................35 BM NYSE Positive Volume Index ..........................................................................................35 BM NYSE Positive Volume Index Formula..............................................................35 BM NYSE Rate of Change (Percent).......................................................................................36 BM NYSE Rate of Change (Percent) Formula..........................................................36 BM NYSE Rate of Change (Points).........................................................................................36 BM NYSE Rate of Change (Points) Formula............................................................36 BM NYSE Relative Strength Index .........................................................................................36 BM NYSE Relative Strength Index Formula ............................................................36 BM NYSE STIX ......................................................................................................................36 BM NYSE STIX Formula .........................................................................................37 BM NYSE Stochastic Oscillator ..............................................................................................37 BM NYSE Stochastic Oscillator Formula .................................................................37 BM NYSE Total Volume.........................................................................................................37 BM NYSE Total Volume Formula ............................................................................37 BM NYSE TRIN......................................................................................................................37 BM NYSE TRIN Formula .........................................................................................38 BM NYSE Unchanged Volume ...............................................................................................38 BM NYSE Unchanged Volume Formula ..................................................................38 BM NYSE Upside/Downside Ratio.........................................................................................38 BM NYSE Upside/Downside Ratio Formula ............................................................38 BM NYSE Upside/Downside Volume.....................................................................................38 BM NYSE Upside/Downside Volume Formula........................................................39

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Broad Market Indicators

Broad Market Indicators are divided into two broad groups inside MetaStock 9.0: market momentum, and monetary. Market momentum indicators, also referred to as tape indicators, are typically based on either a market index (such as moving averages or rates-of-change) or breadth (indicators which use advancing/declining, up/down volume, or new highs/lows). These indicators quantify the movement (momentum) of the market itself and have a very strong correlation with changes in the stock market. Monetary indicators display monetary/interest rate conditions which affect the stock market. The monetary indicators include four interest rates (the Prime Rate, the Federal Funds Rate, 13 week T-Bills, and 26 week T-Bills), the rates-of-change of these four interest rates, and composite monetary models of these rates-of-change. Other monetary indicators include the Japanese Yen, Swiss Franc, Gold and Silver. The two groups of indicators: momentum and monetary, combine together to give investors an overall view of the major conditions affecting the stock market. Monetary indicators are used to analyze changes in interest rates and global changes which have a direct impact on the profitability of American corporations (and thus, the value of their stocks); Momentum indicators show what prices are actually doing.

Broad Market Indicators 1

BM Monetary Indicators

BM Monetary 13 week T-bill yield


The bills sell at a discount from face value in units of $10,000 to $1 million. An increase in T-Bill yields is considered bearish for the stock market.

BM Monetary 13 week T-bill yield Formula


Security("C:\MetaStock Data\BM Data\.IRX",C)

BM Monetary 26 week T-bill yield


The bills sell at a discount from face value in units of $10,000 to $1 million. An increase in T-Bill yields is considered bearish for the stock market.

BM Monetary 26 week T-bill yield Formula


Security("C:\MetaStock Data\BM Data\US6MT=RR",C)

BM Monetary Composite Index Short Term


BM Monetary Composite Index Short Term is designed to track monetary (interest rate) change and momentum. The short-term indicator puts less weight on the Prime Rate and uses a shorter moving average for smoothing. The CMIs are designed to display changes in interest rates. They provide a visual tool by which you can see the rate-of-change in a composite of interest rates. When interest rates are falling, the CMI will drop below zero. As long as rates continue to fall, the CMI will remain below zero. The further the CMI goes below zero, the faster rates are falling. Conversely, readings above zero indicate that interest rates are rising. The higher the CMI rises above zero, the faster rates are rising.
BM Monetary Indicators 3

Note that the value of the monetary indicators will vary depending on if daily data or weekly data are displayed. This is because daily CMIs use daily rates-of-change, while weekly CMIs use weekly rates-of-change. Here are the contents within the Short Term Indicator: CONTENTS (SHORT-TERM MONETARY INDICATOR):
Fed Funds, Rate-Of-Change % of Fed Funds R.O.C in indicator Prime Rate, Rate-Of-Change % of Prime Rate R.O.C. in indicator 13 wk T-Bills, Rate-Of-Change % of 13 wk T-Bills in indicator 26 wk T-Bills, Rate-Of-Change % of 26 wk T-Bills in indicator Exponential moving average days 13 30% 13 10% 13 30% 13 30% 15

BM Monetary Composite Index Short Term Formula


p1:=Input("Fed Funds ROC %",0,100,30); p2:=Input("Prime Rate ROC %",0,100,10); p3:=Input("13 wk T'Bills ROC %",0,100,25); p4:=Input("26 wk T'Bills ROC %",0,100,40); p5:=Input("periods in Rate of Change",1,200,13); p6:=Input("Exponential Moving Average periods",1,200,15); CMI:=((p1/100)*Security("C:\MetaStock Data\BM Data\USPRIME=",ROC(C,p5,%)))+ ((p2/100)*Security("C:\MetaStock Data\BM Data\.FFY",ROC(C,p5,%)))+ ((p3/100)*Security("C:\MetaStock Data\BM Data\.IRX",ROC(C,p5,%)))+ ((p4/100)*Security("C:\MetaStock Data\BM Data\US6MT=RR",ROC(C,p5,%))); Mov(CMI,p6,E)

BM Monetary Composite Index Medium Term


BM Monetary Composite Index Medium Term is designed to track monetary (interest rate) change and momentum. The CMIs are designed
4 BM Monetary Indicators

to display changes in interest rates. They provide a visual tool by which you can see the rate-of-change in a composite of interest rates. When interest rates are falling, the CMI will drop below zero. As long as rates continue to fall, the CMI will remain below zero. The further the CMI goes below zero, the faster rates are falling. Conversely, readings above zero indicate that interest rates are rising. The higher the CMI rises above zero, the faster rates are rising. Note that the value of the monetary indicators will vary depending on if daily data or weekly data are displayed. This is because daily CMIs use daily rates-of-change, while weekly CMIs use weekly rates-of-change. Here are the contents of the Monetary Composite Index Medium Term indicator:
Fed Funds, Rate-Of-Change % of Fed Funds R.O.C in indicator Prime Rate, Rate-Of-Change % of Prime Rate R.O.C. in indicator 13 wk T-Bills, Rate-Of-Change % of 13 wk T-Bills in indicator 26 wk T-Bills, Rate-Of-Change % of 26 wk T-Bills in indicator Exponential moving average days 13 25% 13 25% 13 25% 13 25% 25

BM Monetary Composite Index Medium Term Formula


p1:=Input("Fed Funds ROC %",0,100,25); p2:=Input("Prime Rate ROC %",0,100,25); p3:=Input("13 wk T'Bills ROC %",0,100,25); p4:=Input("26 wk T'Bills ROC %",0,100,25); p5:=Input("periods in Rate of Change",1,200,13); p6:=Input("Exponential Moving Average periods",1,200,25); CMI:=((p1/100)*Security("C:\MetaStock Data\BM Data\USPRIME=",ROC(C,p5,%)))+ ((p2/100)*Security("C:\MetaStock Data\BM Data\.FFY",ROC(C,p5,%)))+ ((p3/100)*Security("C:\MetaStock Data\BM Data\.IRX",ROC(C,p5,%)))+ ((p4/100)*Security("C:\MetaStock Data\BM Data\US6MT=RR",ROC(C,p5,%))); Mov(CMI,p6,E)
BM Monetary Indicators 5

BM Monetary Euro
This indicator displays the exchange rates of the Euro to the U.S. dollar.

BM Monetary Euro Formula


Security("C:\MetaStock Data\BM Data\EUR=",C)

BM Monetary Fed Funds Rate


Banks with excess reserves can lend their reserves to banks with deficient reserves at the Federal Funds Market. The interest rate charged for these short (often just overnight) loans is called the Fed Funds Rate. An increase in the Fed Funds rate is considered bearish for the stock market.

BM Monetary Fed Funds Rate Formula


Security("C:\MetaStock Data\BM Data\.FFY",C)

BM Monetary Gold / Silver Ratio


MetaStock 9.0 charts the price of gold and silver (per ounce) as well as the Gold/Silver Ratio.

BM Monetary Gold / Silver Ratio Formula


Security("C:\MetaStock Data\BM Data\XAU-B-HH",C)/ Security("C:\MetaStock Data\BM Data\XAG-HH",C)

BM Monetary Interest Rate ROC


The Interest Rate R.O.C. indicators show how much an interest rate has changed over a specific time period. It is calculated by subtracting the interest rate x-days (weeks) ago from the current rate. If the rate is higher today than x-days ago, the R.O.C. indicator will be greater than zero. If current rates are lower than rates x-days ago, the R.O.C. indicator will be less than zero. The Rate-Of-Change of an interest rate shows the trend and direction of interest rates. If interest rates are high, but have been high for some time (thus, the Rate-Of-Change would be near zero), an investor would expect the economy to continue as is. However, regardless of the level of current interest rates, if rates have been climbing 1% every three months (the 12-week R.O.C. is 1.00), the economy will probably slow down (unless the current trend changes).

BM Monetary Interest Rate ROC Formula


ir:=Input("which rate: 1=Fed Fund,
6 BM Monetary Indicators

2=Prime",1,2,1); x:=Input("time periods",1,1000,21); irpr:=Security("C:\MetaStock Data\BM Data\USPRIME=",C); irff:=Security("C:\MetaStock Data\BM Data\.FFY",C); If(Int(ir)=1,ROC(irff,x,$),ROC(irpr,x,$))

BM Monetary Japanese Yen


These indicators display the exchange rates of the Japanese Yen to the U.S. dollar.

BM Monetary Japanese Yen Formula


Security(C:\MetaStock Data\BM Data\JPY=,C)

BM Monetary Prime Rate


The Prime Rate is the interest rate U.S. banks charge their best corporate clients. An increase in the Prime Rate is considered bearish for the stock market.

BM Monetary Prime Rate Formula


Security("C:\MetaStock Data\BM Data\USPRIME=",C)

BM Monetary T-bill Yield Spread


The T-Bills Spread shows the difference between T-bills that will mature in 13 weeks and T-bills that mature in 26 weeks. Spread = (26 week T-bills Rate) - (13 week T-bills Rate) When the Spread between T-Bills rises, it indicates that 13 week T-Bill rates are falling faster (or rising slower) than 26 week T-Bill rates. This is generally bullish. When the spread narrows (is lower), it indicates that 13 week T-Bill rates are rising faster (or falling slower) than 26 week T-Bill rates. This is generally bearish. The spread between 13 week and 26 week T-Bills has averaged about 0.13% over the last several years.

BM Monetary T-bill Yield Spread Formula


Security("C:\MetaStock Data\BM Data\US6MT=RR",C)Security("C:\MetaStock Data\BM Data\.IRX",C)

BM Monetary Indicators 7

BM NASDAQ Indicators

BM NASDAQ Absolute Breadth Index


The ABI shows market activity. It disregards market direction and shows only how much activity is taking place. For example: If 1000 stocks advanced and 300 declined, the ABI would be +700; similarly, if 1,000 stocks declined and 300 advanced, the ABI would still be +700. The ABI can be thought of as an "activity index." High readings indicate considerable market activity (and change) while low readings indicate lack of change. Classic interpretation of the ABI is that market tops are generally active, with heavy swings in both directions; market bottoms are generally dull, with low market activity.

BM NASDAQ Absolute Breadth Index Formula


Abs(Security("C:\MetaStock Data\BM Data\X.NASDA",C)Security("C:\MetaStock Data\BM Data\X.NASD-D",C) )

BM NASDAQ Advance/Decline Line


The A/D Line is best used to measure overall market strength and market breadth. When more stocks advance than decline, the indicator moves up and vice versa. Many investors feel that the A/D Line shows market strength better than more commonly used indices such as the Dow Jones Industrial Average or the New York Stock Exchange Composite Index. By studying the trend of the A/D Line we can see if the market is in a rising or falling trend, if the trend is still intact, and how long the current trend has prevailed. Another method of interpreting the A/D Line is to look for a divergence between the DJIA (or similar index) and the A/D Line. Often an end to a bull market can be forecast when the A/D Line begins to round over while the DJIA is still trying to make new highs. Historically, when a divergence develops between the DJIA and the A/D Line, the DJIA has
BM NASDAQ Indicators 9

corrected and gone the direction of the A/D Line.

BM NASDAQ Advance/Decline Line Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); Cum(ADI-DCI)

BM NASDAQ Advance/Decline Ratio


The A/D Ratio is similar to the A/D Line in that it displays market strength (tape action). But, where the A/D Line is a cumulative total, the A/D Ratio is a daily ratio between the number of advancing issues and the number of declining issues. The A/D Ratio is often used as an overbought/oversold indicator. The higher the value, the more "excessive" the rally and the more likely a correction will take place. Likewise, low readings imply an oversold market and suggest a technical rally. Keep in mind, however, that markets that appear to be extremely overbought or oversold may stay that way for some time. When investing using overbought and oversold indicators, it is wise to wait for the market to confirm your belief that a change is due before placing your trades.

BM NASDAQ Advance/Decline Ratio Formula


Security("C:\MetaStock Data\BM Data\X.NASD-A",C)/ Security("C:\MetaStock Data\BM Data\X.NASD-D",C)

BM NASDAQ Advancing - Declining Issues


Plotted by themselves, the number of advancing and the number of declining issues are very erratic charts. We suggest erasing the indicator and then plotting a short (10-day) moving average of the indicator. Both of these indicators show how stocks are performing on a daily basis. Some questions to consider when analyzing the ADI or DCI are: Is the market making a new low while fewer and fewer stocks are declining? Is the downside selling pressure easing up? Are a record number of stocks declining? Has the 21-day moving average of the ADI turned up (or down)? Etc...

BM NASDAQ Advancing - Declining Issues Formula


Security("C:\MetaStock Data\BM Data\X.NASD-A",C)Security("C:\MetaStock Data\BM Data\X.NASD-D",C)

10 BM NASDAQ Indicators

BM NASDAQ Advancing Issues


This indicator displays the number of advancing issues on the Nasdaq.

BM NASDAQ Advancing Issues Formula


Security("C:\MetaStock Data\BM Data\X.NASD-A",C)

BM NASDAQ Advancing Volume


This indicator displays the advancing volume on the Nasdaq.

BM NASDAQ Advancing Volume Formula


Security("C:\MetaStock Data\BM Data\X.NASD-A",V)

BM NASDAQ Breadth Thrust


The Breadth Thrust indicator, developed by Dr. Martin Zweig, is a momentum indicator. It is calculated by dividing a 10-day moving average of the number of advancing issues, by the number of advancing plus declining issues. A "Breadth Thrust" is said to have occurred when the Breadth Thrust indicator rises from below 40% to above 61.5% within a 10-day period. When a "Thrust" occurs, the market has rapidly changed from an oversold condition to one of strength (but is not yet overbought).

BM NASDAQ Breadth Thrust Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); Mov(ADI/(ADI+DCI),10,S)

BM NASDAQ Changed Volume


Changed volume refers to the volume of shares traded on the Nasdaq that either increased or decreased in price. It is calculated by adding upvolume to down-volume (or subtracting unchanged-volume from totalvolume). Total volume refers to the total volume of shares traded on the Nasdaq. It is calculated by adding up-volume, down-volume, and unchangedvolume together. Both of these indicators are basically a line chart of daily Nasdaq volume.

BM NASDAQ Indicators 11

BM NASDAQ Changed Volume Formula


Security("C:\MetaStock Data\BM Data\X.NASD-V",V)Security("C:\MetaStock Data\BM Data\X.NASD-U",V)

BM NASDAQ Composite Tape Index - Medium Term


The CTI shows market strength and direction. The following analysis refers specifically to daily data and short-to-medium term trading, although the interpretation of the weekly CTI would be very similar. Note; when the CTI is plotted using daily data, the values will be different than if plotted using weekly data. This is because the weekly data uses the weekly rates-of-change and weekly moving averages rather than daily values. Also note that the CTI uses the market index values to calculate the R.O.C. Thus, the CTI will be different depending on which market index is plotted (e.g., the DJIA or the S&P 500). In the following discussion, we assume that the NYSE index has been selected as the market index. Because the CTI displays market strength (momentum), it tends to be a trend-following indicator. When the CTI is in a rising trend (indicating market strength), we want to be long. When the CTI is in a falling trend, we want to be short. The indicator can be used to anticipate market moves, but we would rather follow behind by a few days than "fight the tape." Once the CTI forms a trend, it tends to stay in it for some time. And once the trend is broken, it is usually broken for good and a new trend is established. Because the CTI is a composite of several different momentum indicators, it is not as subject to false readings and whipsaws as a single indicator. The basic analysis of the CTI requires determining the current trend and deciding when the trend has changed. One method (refer to example) of determining the trend is to wait for the Trend Indicator to enter the overbought/oversold zones (100ish) and then rise/fall from these levels. Buy signals are given when the indicator falls below -100 and then rises above -100, or any time the indicator rises above +100. Likewise, sell signals are generated when the indicator rises above +100 and then falls below +100, or any time the indicator falls below -100. Another system that works well is to buy when the CTI rises above zero and sell when it falls below zero.

BM NASDAQ Composite Tape Index - Medium Term Formula


p1:=Input("Advancing and Declining Issues %",0,100,25); p2:=Input("New Highs and New Lows %",0,100,30); p3:=Input("Up Volume and Down Volume
12 BM NASDAQ Indicators

%",0,100,20); p4:=Input("periods in Rate of Change",1,200,12); p5:=Input("Rate of Change %",0,100,25); p6:=Input("Exponential Moving Average periods",1,200,12); ADI:=Security("C:\MetaStock Data\BM Data\.NASDA",C); USV:=Security("C:\MetaStock Data\BM Data\X.NASDA",V); DSV:=Security("C:\MetaStock D",V); NNH:=Security("C:\MetaStock H",C); NNL:=Security("C:\MetaStock L",C); MKT:=Security("C:\MetaStock Data\.IXIC",C); Data\BM Data\X.NASDData\BM Data\X.NASDData\BM Data\X.NASDData\BM

CTI:=(((ADI/(ADI+DCI))-0.5)*100)*(p1/100) + (((NNH/(NNH+NNL))-0.5)*100)*(p2/100) + (((USV/(USV+DSV))-0.5)*100)*(p3/100) + ROC(MKT,p4,%)*(p5/100); Mov(CTI,p6,E)

BM NASDAQ Composite Tape Index - Short Term


The CTI shows market strength and direction. The following analysis refers specifically to daily data and short-to-medium term trading, although the interpretation of the weekly CTI would be very similar. Note; that when the CTI is plotted using daily data, the values will be different than if plotted using weekly data. This is because the weekly data uses the weekly rates-of-change and weekly moving averages rather than daily values. Also note that the CTI uses the market index values to calculate the R.O.C. Thus, the CTI will be different depending on which market index is plotted (e.g., the DJIA or the S&P 500). In the following discussion, we assume that the NYSE index has been selected as the market index. Because the CTI displays market strength (momentum), it tends to be a trend-following indicator. When the CTI is in a rising trend (indicating market strength), we want to be long. When the CTI is in a falling trend, we want to be short. The indicator can be used to anticipate market moves, but we would rather follow behind by a few days than "fight the tape." Once the CTI forms a trend, it tends to stay in it for some time. And once the trend is broken, it is usually broken for good and a new trend is established. Because the CTI is a composite of several different momentum indicators, it is not as subject to false readings and whipsaws
BM NASDAQ Indicators 13

as a single indicator. The basic analysis of the CTI requires determining the current trend and deciding when the trend has changed. One method (refer to example) of determining the trend is to wait for the Trend Indicator to enter the overbought/oversold zones (100ish) and then rise/fall from these levels. Buy signals are given when the indicator falls below -100 and then rises above -100, or any time the indicator rises above +100. Likewise, sell signals are generated when the indicator rises above +100 and then falls below +100, or any time the indicator falls below -100. Another system that works well is to buy when the CTI rises above zero and sell when it falls below zero.

BM NASDAQ Composite Tape Index - Short Term Formula


p1:=Input("Advancing and Declining Issues %",0,100,25); p2:=Input("New Highs and New Lows %",0,100,10); p3:=Input("Up Volume and Down Volume %",0,100,25); p4:=Input("periods in Rate of Change",1,200,12); p5:=Input("Rate of Change %",0,100,40); p6:=Input("Exponential Moving Average periods",1,200,10); ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); USV:=Security("C:\MetaStock Data\BM Data\X.NASDA",V); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); DSV:=Security("C:\MetaStock Data\BM Data\X.NASDD",V); NNH:=Security("C:\MetaStock Data\BM Data\X.NASDH",C); NNL:=Security("C:\MetaStock Data\BM Data\X.NASDL",C); MKT:=Security("C:\MetaStock Data\BM Data\.IXIC",C); CTI:=(((ADI/(ADI+DCI))-0.5)*100)*(p1/100) + (((NNH/(NNH+NNL))-0.5)*100)*(p2/100) + (((USV/(USV+DSV))-0.5)*100)*(p3/100) + ROC(MKT,p4,%)*(p5/100); Mov(CTI,p6,E)

BM NASDAQ Cumulative Volume Index


The Cumulative Volume Index (CVI) is a cumulative total of the difference between up-volume and down-volume. It is calculated by
14 BM NASDAQ Indicators

adding the volume of advancing stocks and subtracting the volume of declining stocks from a running total. For example: If the value of the CVI was 400 million yesterday, and today there were 24 million shares of up-volume and 40 million shares of down-volume, the CVI today would be 384 million.

BM NASDAQ Cumulative Volume Index Formula


USV:=Security("C:\MetaStock Data\BM Data\X.NASDA",V); DSV:=Security("C:\MetaStock Data\BM Data\X.NASDD",V); Cum(USV-DSV)

BM NASDAQ Declining Issues


This indicator will determine how many declining issues there are on the Nasdaq.

BM NASDAQ Declining Issues Formula


Security("C:\MetaStock Data\BM Data\X.NASD-D",C)

BM NASDAQ Declining Volume


This indicator will determine the declining volume on the Nasdaq.

BM NASDAQ Declining Volume Formula


Security("C:\MetaStock Data\BM Data\X.NASD-D",V)

BM NASDAQ MACD
The MACD ("Moving Average Convergence/Divergence") is a trend following momentum indicator that shows the relationship between two moving averages of prices. A moving average is a method of calculating the average value of a market index, security, or indicator, over a period of time. The term moving implies, and rightly so, that the average changes or moves. When calculating a moving average, a mathematical analysis of the market index's average value over a predetermined time period is made. As the index changes over time, its average also moves up or down. The most popular method of interpreting a moving average is to compare the relationship of the moving average of a market index's closing price to the market index's closing price itself. A sell signal is generated when the market index's price falls below its moving average and a buy signal is generated when the market index's price rises above its moving
BM NASDAQ Indicators 15

average.

BM NASDAQ MACD Formula


Security("C:\MetaStock Data\BM Data\.IXIC",MACD())

BM NASDAQ McClellan Oscillator


The McClellan Oscillator is the difference between a 10% (19-day) and a 5% (39-day) exponential moving average of advancing minus declining issues.

BM NASDAQ McClellan Oscillator Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); Mov(ADI-DCI,19,E)-Mov(ADI-DCI,39,E)

BM NASDAQ McClellan Summation


The McClellan Summation Index is a cumulative total of the McClellan Oscillator values.

BM NASDAQ McClellan Summation Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C);

BM NASDAQ Negative Volume Index


The Negative Volume Index (NVI) relates a drop in volume to the change in the market index's price. When volume decreases from the previous day (or week), the NVI is adjusted by the percentage that the market index's price changed.

BM NASDAQ Negative Volume Index Formula


MKT:=Security("C:\MetaStock Data\BM Data\.IXIC",C); TVO:=Security("C:\MetaStock Data\BM Data\X.NASDV",V); Cum(If(ROC(TVO,1,$)<0, ROC(MKT,1,$)/(Ref(MKT,1)/1000),0))
16 BM NASDAQ Indicators

BM NASDAQ New Highs - New Lows Cumulative


The New Highs-Lows Cumulative indicator is a cumulative total of the number of new highs and new lows. The interpretation of this indicator is similar to the advance/decline line in that divergences can often be seen where the new highs-lows cumulative fails to confirm the market index's new high.

BM NASDAQ New Highs - New Lows Cumulative Formula


NNH:=Security("C:\MetaStock Data\BM Data\X.NASDH",C); NNL:=Security("C:\MetaStock Data\BM Data\X.NASDL",C); Cum(NNH-NNL)

BM NASDAQ New Highs - New Lows Ratio


The high/low ratio is another useful method to visualize the relationship of stocks that are making new highs/lows. High readings indicate that a large number of stocks are making new highs (compared to the number of stocks making new lows). Readings less than one indicate that the number of stocks making new highs is less than the number of stocks making lows.

BM NASDAQ New Highs - New Lows Ratio Formula


NNH:=Security("C:\MetaStock Data\BM Data\X.NASDH",C); NNL:=Security("C:\MetaStock Data\BM Data\X.NASDL",C); NNH/NNL

BM NASDAQ New Highs - New Lows


This indicator displays the daily difference between the number of new highs and the number of new lows. The indicator generally reaches its extreme lows slightly before a major market bottom. As a market turns up from the major bottom, the indicator moves up rapidly. (Many new stocks are making new highs because it's easy to make a new high when prices have been depressed for a long time.) As the cycle matures, a divergence often occurs as fewer and fewer stocks are making new highs (the New Highs-Lows falls), yet the market indices continue to reach new highs.

BM NASDAQ Indicators 17

BM NASDAQ New Highs - New Lows Formula


Security("C:\MetaStock Data\BM Data\X.NASD-H",C)Security("C:\MetaStock Data\BM Data\X.NASD-L",C)

BM NASDAQ New Highs


This indicator will show number of securities that hit a new high on the Nasdaq.

BM NASDAQ New Highs Formula


Security("C:\MetaStock Data\BM Data\X.NASD-H",C)

BM NASDAQ New Lows


This indicator will show number of securities that hit a new low on the Nasdaq.

BM NASDAQ New Lows Formula


Security("C:\MetaStock Data\BM Data\X.NASD-L",C)

BM NASDAQ On Balance Volume


On Balance Volume (OBV) relates volume to price change. It is calculated by adding the volume for the day to a cumulative total when the market closes up, and subtracting the day's volume when the market closes down.

BM NASDAQ On Balance Volume Formula


MKT:=Security("C:\MetaStock Data\BM Data\.IXIC",C); TVO:=Security("C:\MetaStock Data\BM Data\X.NASDV",V); Cum(If(ROC(MKT,1,$)>0, TVO, If(ROC(MKT,1,$)<0,Neg(TVO),0)))

BM NASDAQ Open-10 TRIN


The interpretation of Open-10 TRIN (also called the Open Trading Index) is similar to the interpretation of the "normal" TRIN. Readings above 0.90 are generally considered bearish and readings below 0.90 are considered bullish.

BM NASDAQ Open-10 TRIN Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASD18 BM NASDAQ Indicators

A",C); USV:=Security("C:\MetaStock Data\BM Data\X.NASDA",V); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); DSV:=Security("C:\MetaStock Data\BM Data\X.NASDD",V); (Sum(ADI,10)/Sum(DCI,10))/ (Sum(USV,10)/Sum(DSV,10))

BM NASDAQ Overbought/Oversold
The OB/OS indicator is designed to show when the stock market is overbought (and a correction is due) and when it is oversold (and a rally is due). Readings above +200 are generally considered bearish and readings below -200 are generally considered bullish.

BM NASDAQ Overbought/Oversold Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); Mov(ADI-DCI,10,E)

BM NASDAQ Positive Volume Index


The Positive Volume Index (PVI) relates an increase in volume to the change in the market index's price. When volume increases from the previous day (or week), the PVI is adjusted by the percentage that the market index's price changed.

BM NASDAQ Positive Volume Index Formula


MKT:=Security("C:\MetaStock Data\BM Data\.IXIC",C); TVO:=Security("C:\MetaStock Data\BM Data\X.NASDV",V); Cum(If(ROC(TVO,1,$)>0, ROC(MKT,1,$)/(Ref(MKT,1)/1000),0))

BM NASDAQ Rate of Change (Percent)


This indicator will plot the Rate of Change as a percent on a security
BM NASDAQ Indicators 19

within the Nasdaq.

BM NASDAQ Rate of Change (Percent) Formula


x:=Input("number of periods:",2,200,12); Security("C:\MetaStock Data\BM Data\.IXIC",ROC(C,x,%))

BM NASDAQ Rate of Change (Points)


This indicator will plot the Rate of Change as a point on a security within the Nasdaq.

BM NASDAQ Rate of Change (Points) Formula


x:=Input("number of periods:",2,200,12); Security("C:\MetaStock Data\BM Data\.IXIC",ROC(C,x,$))

BM NASDAQ Relative Strength Index


The name Relative Strength Index is slightly misleading as the RSI does not compare the relative strength of two market indices, but rather the internal strength of a single index. A more appropriate name might be Internal Strength Index. When Wilder introduced the RSI, he recommended using a 14-day RSI. Since that time, the 9-day and 25-day RSIs have also gained popularity. The RSI is a price-following oscillator that ranges between 0 and 100. A popular method by which to analyze the RSI is to look for a divergence wherein the market index is making new a high, but the RSI is failing to surpass its previous high. This divergence would be an indication of an impending reversal. When the RSI then turns down and falls below its most recent trough, it is said to have completed a failure swing. The failure swing would be considered a confirmation of an impending reversal.

BM NASDAQ Relative Strength Index Formula


x:=Input("number of periods:",2,200,14); Security("C:\MetaStock Data\BM Data\.IXIC",RSI(x))

BM NASDAQ STIX
STIX is a short-term trading oscillator. The oscillator is a 21-day (9%) exponential moving average of the Advance/Decline Ratio.

20 BM NASDAQ Indicators

BM NASDAQ STIX Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); Mov((ADI/(ADI+DCI))*100,21,E)

BM NASDAQ Stochastic Oscillator


The Stochastic Oscillator compares where a market index's price closed relative to its trading range over the last x-days Stochastic Oscillators can be used as both short and intermediate-term trading oscillators, depending on the number of days used when calculating the oscillator. When displaying a very short-term Stochastic Oscillator, it is popular to also display a short-term moving average of the oscillator. The most popular combination is to select a 5-day %K with 3-day %K slowing. Stochastic Oscillators always range between 0% and 100%. A reading of 0% shows that the market index's close today was the lowest price that the index has closed at during the last x-days. A reading of 100% shows that the index's close today was the highest price that the index has closed at during the last x-days.

BM NASDAQ Stochastic Oscillator Formula


x:=Input("number of periods for %k:",2,200,5); y:=Input("number of periods for %k slowing:",1,200,3); Security("C:\MetaStock Data\BM Data\.IXIC",Stoch(x,y))

BM NASDAQ Total Volume


This indicator will plot the total volume of the Nasdaq.

BM NASDAQ Total Volume Formula


Security("C:\MetaStock Data\BM Data\X.NASD-V",V)

BM NASDAQ Arms Index (TRIN)


TRIN, the short-term Trading Index, shows the relationship between advancing/declining issues and advancing/declining (up/down) volume. It is calculated by dividing the advance/decline ratio by the up/down volume ratio. The TRIN index is a short-term trading tool. TRIN shows if volume is flowing into advancing or declining stocks. In effect, it shows how
BM NASDAQ Indicators 21

much volume is associated with each issue. If more volume is associated with advancing stocks than declining stocks, the index will fall. TRIN is considered bullish when it is below 1.0 and bearish when it is above 1.0.

BM NASDAQ Arms Index (TRIN) Formula


ADI:=Security("C:\MetaStock A",C); USV:=Security("C:\MetaStock A",V); DCI:=Security("C:\MetaStock D",C); DSV:=Security("C:\MetaStock D",V); (ADI/DCI)/(USV/DSV) Data\BM Data\X.NASDData\BM Data\X.NASDData\BM Data\X.NASDData\BM Data\X.NASD-

BM NASDAQ Unchanged Volume


This indicator will show all securities with unchanged volume on the Nasdaq.

BM NASDAQ Unchanged Volume Formula


Security("C:\MetaStock Data\BM Data\X.NASD-U",V)

BM NASDAQ Upside/Downside Ratio


The Upside/Downside Ratio, as its name implies, shows the relationship between up-volume and down-volume. It is calculated by dividing the daily up-volume by the daily down-volume.

BM NASDAQ Upside/Downside Ratio Formula


Security("C:\MetaStock Data\BM Data\X.NASD-A",V)/ Security("C:\MetaStock Data\BM Data\X.NASD-D",V)

BM NASDAQ Upside/Downside Volume


The Upside-Downside volume indicator shows the net flow of volume into or out-of the market. A reading of +40 million indicates that upvolume exceeded down-volume by 40 million shares. Likewise a reading of -40 would indicate that down-volume exceeded up-volume by 40 million shares. The indicator is useful to compare today's volume action with previous days. Currently, normal readings are in the area of 50 million. Very active days exceed 150 million shares (the October, 1987 crash reached -602).
22 BM NASDAQ Indicators

BM NASDAQ Upside/Downside Volume Formula


Security("C:\MetaStock Data\BM Data\X.NASD-A",V)Security("C:\MetaStock Data\BM Data\X.NASD-D",V)

BM NASDAQ Indicators 23

BM NYSE INDICATORS

BM NYSE Absolute Breadth Index


The ABI shows market activity. It disregards market direction and shows only how much activity is taking place. For example: If 1000 stocks advanced and 300 declined, the ABI would be +700; similarly, if 1,000 stocks declined and 300 advanced, the ABI would still be +700. The ABI can be thought of as an "activity index." High readings indicate considerable market activity (and change) while low readings indicate lack of change. Classic interpretation of the ABI is that market tops are generally active, with heavy swings in both directions; market bottoms are generally dull, with low market activity.

BM NYSE Absolute Breadth Index Formula


Abs(Security("C:\MetaStock Data\BM Data\X.NASDA",C)Security("C:\MetaStock Data\BM Data\X.NASD-D",C) )

BM NYSE Advance/Decline Line


The A/D Line is best used to measure overall market strength and market breadth. When more stocks advance than decline, the indicator moves up and vice versa. Many investors feel that the A/D Line shows market strength better than more commonly used indices such as the Dow Jones Industrial Average or the New York Stock Exchange Composite Index. By studying the trend of the A/D Line we can see if the market is in a rising or falling trend, if the trend is still intact, and how long the current trend has prevailed. Another method of interpreting the A/D Line is to look for a divergence between the DJIA (or similar index) and the A/D Line. Often an end to a bull market can be forecast when the A/D Line begins to round over while the DJIA is still trying to make new highs. Historically, when a divergence develops between the DJIA and the A/D Line, the DJIA has
BM NYSE INDICATORS 25

corrected and gone the direction of the A/D Line.

BM NYSE Advance/Decline Line Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); Cum(ADI-DCI)

BM NYSE Advance/Decline Ratio


The A/D Ratio is similar to the A/D Line in that it displays market strength (tape action). But, where the A/D Line is a cumulative total, the A/D Ratio is a daily ratio between the number of advancing issues and the number of declining issues. The A/D Ratio is often used as an overbought/oversold indicator. The higher the value, the more "excessive" the rally and the more likely a correction. Likewise, low readings imply an oversold market and suggest a technical rally. Keep in mind, however, that markets that appear to be extremely overbought or oversold may stay that way for some time. When investing using overbought and oversold indicators, it is wise to wait for the market to confirm your belief that a change is due before placing your trades.

BM NYSE Advance/Decline Ratio Formula


Security("C:\MetaStock Data\BM Data\X.NASD-A",C)/ Security("C:\MetaStock Data\BM Data\X.NASD-D",C)

BM NYSE Advancing - Declining Issues


Plotted by themselves, the number of advancing and the number of declining issues are very erratic charts. We suggest erasing the indicator and then plotting a short (10-day) moving average of the indicator. Both of these indicators show how stocks are performing on a daily basis. Some questions to consider when analyzing the ADI or DCI are: Is the market making a new low while fewer and fewer stocks are declining? Is the downside selling pressure easing up? Are a record number of stocks declining? Has the 21-day moving average of the ADI turned up (or down)? Etc... The following chart shows the smoothing effects of a 21-day moving average. Note how the number of advancing issues dropped off from their previous highs before the market began to turn down (vertical line labeled "A").
26 BM NYSE INDICATORS

BM NYSE Advancing - Declining Issues Formula


Security("C:\MetaStock Data\BM Data\X.NASD-A",C)Security("C:\MetaStock Data\BM Data\X.NASD-D",C)

BM NYSE Advancing Issues


This indicator displays the number of advancing issues on the Nasdaq.

BM NYSE Advancing Issues Formula


Security("C:\MetaStock Data\BM Data\X.NASD-A",C)

BM NYSE Advancing Volume


This indicator displays the advancing volume on the Nasdaq.

BM NYSE Advancing Volume Formula


Security("C:\MetaStock Data\BM Data\X.NASD-A",V)

BM NYSE Breadth Thrust


The Breadth Thrust indicator, developed by Dr. Martin Zweig, is a momentum indicator. It is calculated by dividing a 10-day moving average of the number of advancing issues, by the number of advancing plus declining issues. A "Breadth Thrust" is said to have occurred when the Breadth Thrust indicator rises from below 40% to above 61.5% within a 10-day period. When a "Thrust" occurs, the market has rapidly changed from an oversold condition to one of strength (but is not yet overbought).

BM NYSE Breadth Thrust Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); Mov(ADI/(ADI+DCI),10,S)

BM NYSE Changed Volume


Changed volume refers to the volume of shares traded on the Nasdaq that either increased or decreased in price. It is calculated by adding upvolume to down-volume (or subtracting unchanged-volume from totalvolume). Total volume refers to the total volume of shares traded on the Nasdaq. It is calculated by adding up-volume, down-volume, and unchangedvolume together.
BM NYSE INDICATORS 27

Both of these indicators are basically a line chart of daily Nasdaq volume.

BM NYSE Changed Volume Formula


Security("C:\MetaStock Data\BM Data\X.NASD-V",V)Security("C:\MetaStock Data\BM Data\X.NASD-U",V)

BM NYSE Composite Tape Index - Medium Term


The CTI shows market strength and direction. The following analysis refers specifically to daily data and short-to-medium term trading, although the interpretation of the weekly CTI would be very similar. Note that when the CTI is plotted using daily data, the values will be different than if plotted using weekly data. This is because the weekly data uses the weekly rates-of-change and weekly moving averages rather than daily values. Also note that the CTI uses the market index values to calculate the R.O.C. Thus, the CTI will be different depending on which market index is plotted (e.g., the DJIA or the S&P 500). In the following discussion, we assume that the NYSE index has been selected as the market index. Because the CTI displays market strength (momentum), it tends to be a trend-following indicator. When the CTI is in a rising trend (indicating market strength), we want to be long. When the CTI is in a falling trend, we want to be short. The indicator can be used to anticipate market moves, but we would rather follow behind by a few days than "fight the tape." Once the CTI forms a trend, it tends to stay in it for some time. And once the trend is broken, it is usually broken for good and a new trend is established. Because the CTI is a composite of several different momentum indicators, it is not as subject to false readings and whipsaws as a single indicator. The basic analysis of the CTI requires determining the current trend and deciding when the trend has changed. One method (refer to example) of determining the trend is to wait for the Trend Indicator to enter the overbought/oversold zones (100ish) and then rise/fall from these levels. Buy signals are given when the indicator falls below -100 and then rises above -100, or any time the indicator rises above +100. Likewise, sell signals are generated when the indicator rises above +100 and then falls below +100, or any time the indicator falls below -100. Another system that works well is to buy when the CTI rises above zero and sell when it falls below zero.

BM NYSE Composite Tape Index - Medium Term Formula


p1:=Input("Advancing and Declining Issues
28 BM NYSE INDICATORS

%",0,100,25); p2:=Input("New Highs and New Lows %",0,100,30); p3:=Input("Up Volume and Down Volume %",0,100,20); p4:=Input("periods in Rate of Change",1,200,12); p5:=Input("Rate of Change %",0,100,25); p6:=Input("Exponential Moving Average periods",1,200,12); ADI:=Security("C:\MetaStock Data\BM Data\.NASDA",C); USV:=Security("C:\MetaStock Data\BM Data\X.NASDA",V); DSV:=Security("C:\MetaStock D",V); NNH:=Security("C:\MetaStock H",C); NNL:=Security("C:\MetaStock L",C); MKT:=Security("C:\MetaStock Data\.IXIC",C); Data\BM Data\X.NASDData\BM Data\X.NASDData\BM Data\X.NASDData\BM

CTI:=(((ADI/(ADI+DCI))-0.5)*100)*(p1/100) + (((NNH/(NNH+NNL))-0.5)*100)*(p2/100) + (((USV/(USV+DSV))-0.5)*100)*(p3/100) + ROC(MKT,p4,%)*(p5/100); Mov(CTI,p6,E)

BM NYSE Composite Tape Index - Short Term


The CTI shows market strength and direction. The following analysis refers specifically to daily data and short-to-medium term trading, although the interpretation of the weekly CTI would be very similar. Note that when the CTI is plotted using daily data, the values will be different than if plotted using weekly data. This is because the weekly data uses the weekly rates-of-change and weekly moving averages rather than daily values. Also note that the CTI uses the market index values to calculate the R.O.C. Thus, the CTI will be different depending on which market index is plotted (e.g., the DJIA or the S&P 500). In the following discussion, we assume that the NYSE index has been selected as the market index. Because the CTI displays market strength (momentum), it tends to be a trend-following indicator. When the CTI is in a rising trend (indicating market strength), we want to be long. When the CTI is in a falling trend, we want to be short. The indicator can be used to anticipate market moves, but we would rather follow behind by a few days than "fight the tape." Once the CTI forms a trend, it tends to stay in it for some time. And
BM NYSE INDICATORS 29

once the trend is broken, it is usually broken for good and a new trend is established. Because the CTI is a composite of several different momentum indicators, it is not as subject to false readings and whipsaws as a single indicator. The basic analysis of the CTI requires determining the current trend and deciding when the trend has changed. One method (refer to example) of determining the trend is to wait for the Trend Indicator to enter the overbought/oversold zones (100ish) and then rise/fall from these levels. Buy signals are given when the indicator falls below -100 and then rises above -100, or any time the indicator rises above +100. Likewise, sell signals are generated when the indicator rises above +100 and then falls below +100, or any time the indicator falls below -100. Another system that works well is to buy when the CTI rises above zero and sell when it falls below zero.

BM NYSE Composite Tape Index - Short Term Formula


p1:=Input("Advancing and Declining Issues %",0,100,25); p2:=Input("New Highs and New Lows %",0,100,10); p3:=Input("Up Volume and Down Volume %",0,100,25); p4:=Input("periods in Rate of Change",1,200,12); p5:=Input("Rate of Change %",0,100,40); p6:=Input("Exponential Moving Average periods",1,200,10); ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); USV:=Security("C:\MetaStock Data\BM Data\X.NASDA",V); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); DSV:=Security("C:\MetaStock Data\BM Data\X.NASDD",V); NNH:=Security("C:\MetaStock Data\BM Data\X.NASDH",C); NNL:=Security("C:\MetaStock Data\BM Data\X.NASDL",C); MKT:=Security("C:\MetaStock Data\BM Data\.IXIC",C); CTI:=(((ADI/(ADI+DCI))-0.5)*100)*(p1/100) + (((NNH/(NNH+NNL))-0.5)*100)*(p2/100) + (((USV/(USV+DSV))-0.5)*100)*(p3/100) + ROC(MKT,p4,%)*(p5/100); Mov(CTI,p6,E)

30 BM NYSE INDICATORS

BM NYSE Cumulative Volume Index


The Cumulative Volume Index (CVI) is a cumulative total of the difference between up-volume and down-volume. It is calculated by adding the volume of advancing stocks and subtracting the volume of declining stocks from a running total. For example: If the value of the CVI was 400 million yesterday, and today there were 24 million shares of up-volume and 40 million shares of down-volume, the CVI today would be 384 million.

BM NYSE Cumulative Volume Index Formula


USV:=Security("C:\MetaStock Data\BM Data\X.NASDA",V); DSV:=Security("C:\MetaStock Data\BM Data\X.NASDD",V); Cum(USV-DSV)

BM NYSE Declining Issues


This indicator will determine how many declining issues there are on the Nasdaq.

BM NYSE Declining Issues Formula


Security("C:\MetaStock Data\BM Data\X.NASD-D",C)

BM NYSE Declining Volume


This indicator will determine the declining volume on the Nasdaq.

BM NYSE Declining Volume Formula


Security("C:\MetaStock Data\BM Data\X.NASD-D",V)

BM NYSE MACD
The MACD ("Moving Average Convergence/Divergence") is a trend following momentum indicator that shows the relationship between two moving averages of prices. A moving average is a method of calculating the average value of a market index, security, or indicator, over a period of time. The term moving implies, and rightly so, that the average changes or moves. When calculating a moving average, a mathematical analysis of the market index's average value over a predetermined time period is made. As the index changes over time, its average also moves up or down. The most popular method of interpreting a moving average is to compare
BM NYSE INDICATORS 31

the relationship of the moving average of a market index's closing price to the market index's closing price itself. A sell signal is generated when the market index's price falls below its moving average and a buy signal is generated when the market index's price rises above its moving average.

BM NYSE MACD Formula


Security("C:\MetaStock Data\BM Data\.IXIC",MACD())

BM NYSE McClellan Oscillator


The McClellan Oscillator is the difference between a 10% (19-day) and a 5% (39-day) exponential moving average of advancing minus declining issues.

BM NYSE McClellan Oscillator Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); Mov(ADI-DCI,19,E)-Mov(ADI-DCI,39,E)

BM NYSE McClellan Summation


The McClellan Summation Index is a cumulative total of the McClellan Oscillator values.

BM NYSE McClellan Summation Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C);

BM NYSE Negative Volume Index


The Negative Volume Index (NVI) relates a drop in volume to the change in the market index's price. When volume decreases from the previous day (or week), the NVI is adjusted by the percentage that the market index's price changed.

BM NYSE Negative Volume Index Formula


MKT:=Security("C:\MetaStock Data\BM Data\.IXIC",C); TVO:=Security("C:\MetaStock Data\BM Data\X.NASD32 BM NYSE INDICATORS

V",V); Cum(If(ROC(TVO,1,$)<0, ROC(MKT,1,$)/(Ref(MKT,1)/1000),0))

BM NYSE New Highs - New Lows Cumulative


The New Highs-Lows Cumulative indicator is a cumulative total of the number of new highs and new lows. The interpretation of this indicator is similar to the advance/decline line in that divergences can often be seen where the new highs-lows cumulative fails to confirm the market index's new high.

BM NYSE New Highs - New Lows Cumulative Formula


NNH:=Security("C:\MetaStock Data\BM Data\X.NASDH",C); NNL:=Security("C:\MetaStock Data\BM Data\X.NASDL",C); Cum(NNH-NNL)

BM NYSE New Highs - New Lows Ratio


The high/low ratio is another useful method to visualize the relationship of stocks that are making new highs/lows. High readings indicate that a large number of stocks are making new highs (compared to the number of stocks making new lows). Readings less than one indicate that the number of stocks making new highs is less than the number of stocks making lows.

BM NYSE New Highs - New Lows Ratio Formula


NNH:=Security("C:\MetaStock Data\BM Data\X.NASDH",C); NNL:=Security("C:\MetaStock Data\BM Data\X.NASDL",C); NNH/NNL

BM NYSE New Highs - New Lows


This indicator displays the daily difference between the number of new highs and the number of new lows. The indicator generally reaches its extreme lows slightly before a major market bottom. As the market then turns up from the major bottom, the indicator jumps up rapidly. (Many new stocks are making new highs because it's easy to make a new high when prices have been depressed
BM NYSE INDICATORS 33

for a long time.) As the cycle matures, a divergence often occurs as fewer and fewer stocks are making new highs (the New Highs-Lows falls), yet the market indices continue to reach new highs.

BM NYSE New Highs - New Lows Formula


Security("C:\MetaStock Data\BM Data\X.NASD-H",C)Security("C:\MetaStock Data\BM Data\X.NASD-L",C)

BM NYSE New Highs


This indicator will show number of securities that hit a new high on the NYSE.

BM NYSE New Highs Formula


Security("C:\MetaStock Data\BM Data\X.NASD-H",C)

BM NYSE New Lows


This indicator will show number of securities that hit a new low on the NYSE.

BM NYSE New Lows Formula


Security("C:\MetaStock Data\BM Data\X.NASD-L",C)

BM NYSE On Balance Volume


On Balance Volume (OBV) relates volume to price change. It is calculated by adding the volume for the day to a cumulative total when the market closes up, and subtracting the day's volume when the market closes down.

BM NYSE On Balance Volume Formula


MKT:=Security("C:\MetaStock Data\BM Data\.IXIC",C); TVO:=Security("C:\MetaStock Data\BM Data\X.NASDV",V); Cum(If(ROC(MKT,1,$)>0, TVO, If(ROC(MKT,1,$)<0,Neg(TVO),0)))

BM NYSE Open-10 Arms Index (TRIN)


The interpretation of Open-10 TRIN (also called the Open Trading Index) is similar to the interpretation of the "normal" TRIN. Readings above 0.90 are generally considered bearish and readings
34 BM NYSE INDICATORS

below 0.90 are considered bullish.

BM NYSE Open-10 Arms Index ( TRIN) Formula


ADI:=Security("C:\MetaStock A",C); USV:=Security("C:\MetaStock A",V); DCI:=Security("C:\MetaStock D",C); DSV:=Security("C:\MetaStock D",V); (Sum(ADI,10)/Sum(DCI,10))/ (Sum(USV,10)/Sum(DSV,10)) Data\BM Data\X.NASDData\BM Data\X.NASDData\BM Data\X.NASDData\BM Data\X.NASD-

BM NYSE Overbought/Oversold
The OB/OS indicator is designed to show when the stock market is overbought (and a correction is due) and when it is oversold (and a rally is due). Readings above +200 are generally considered bearish and readings below -200 are generally considered bullish.

BM NYSE Overbought/Oversold Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); Mov(ADI-DCI,10,E)

BM NYSE Positive Volume Index


The Positive Volume Index (PVI) relates an increase in volume to the change in the market index's price. When volume increases from the previous day (or week), the PVI is adjusted by the percentage that the market index's price changed.

BM NYSE Positive Volume Index Formula


MKT:=Security("C:\MetaStock Data\BM Data\.IXIC",C); TVO:=Security("C:\MetaStock Data\BM Data\X.NASDV",V); Cum(If(ROC(TVO,1,$)>0, ROC(MKT,1,$)/(Ref(MKT,1)/1000),0))

BM NYSE INDICATORS 35

BM NYSE Rate of Change (Percent)


This indicator will plot the Rate of Change as a percent on a security within the NYSE.

BM NYSE Rate of Change (Percent) Formula


x:=Input("number of periods:",2,200,12); Security("C:\MetaStock Data\BM Data\.IXIC",ROC(C,x,%))

BM NYSE Rate of Change (Points)


This indicator will plot the Rate of Change as a point on a security within the NYSE.

BM NYSE Rate of Change (Points) Formula


x:=Input("number of periods:",2,200,12); Security("C:\MetaStock Data\BM Data\.IXIC",ROC(C,x,$))

BM NYSE Relative Strength Index


The name Relative Strength Index is slightly misleading as the RSI does not compare the relative strength of two market indices, but rather the internal strength of a single index. A more appropriate name might be Internal Strength Index. When Wilder introduced the RSI, he recommended using a 14-day RSI. Since that time, the 9-day and 25-day RSIs have also gained popularity. The RSI is a price-following oscillator that ranges between 0 and 100. A popular method by which to analyze the RSI is to look for a divergence wherein the market index is making new a high, but the RSI is failing to surpass its previous high. This divergence would be an indication of an impending reversal. When the RSI then turns down and falls below its most recent trough, it is said to have completed a failure swing. The failure swing would be considered a confirmation of an impending reversal.

BM NYSE Relative Strength Index Formula


x:=Input("number of periods:",2,200,14); Security("C:\MetaStock Data\BM Data\.IXIC",RSI(x))

BM NYSE STIX
STIX is a short-term trading oscillator. The oscillator is a 21-day (9%) exponential moving average of the Advance/Decline Ratio.
36 BM NYSE INDICATORS

BM NYSE STIX Formula


ADI:=Security("C:\MetaStock Data\BM Data\X.NASDA",C); DCI:=Security("C:\MetaStock Data\BM Data\X.NASDD",C); Mov((ADI/(ADI+DCI))*100,21,E)

BM NYSE Stochastic Oscillator


The Stochastic Oscillator compares where a market index's price closed relative to its trading range over the last x-days Stochastic Oscillators can be used as both short and intermediate-term trading oscillators, depending on the number of days used when calculating the oscillator. When displaying a very short-term Stochastic Oscillator, it is popular to also display a short-term moving average of the oscillator. The most popular combination is to select a 5-day %K with 3-day %K slowing. Stochastic Oscillators always range between 0% and 100%. A reading of 0% shows that the market index's close today was the lowest price that the index has closed at during the last x-days. A reading of 100% shows that the index's close today was the highest price that the index has closed at during the last x-days.

BM NYSE Stochastic Oscillator Formula


x:=Input("number of periods for %k:",2,200,5); y:=Input("number of periods for %k slowing:",1,200,3); Security("C:\MetaStock Data\BM Data\.IXIC",Stoch(x,y))

BM NYSE Total Volume


This indicator will plot the total volume of the Nasdaq.

BM NYSE Total Volume Formula


Security("C:\MetaStock Data\BM Data\X.NASD-V",V)

BM NYSE TRIN
TRIN, the short-term Trading Index, shows the relationship between advancing/declining issues and advancing/declining (up/down) volume. It is calculated by dividing the advance/decline ratio by the up/down volume ratio. The TRIN index is a short-term trading tool. TRIN shows if volume is flowing into advancing or declining stocks. In effect, it shows how
BM NYSE INDICATORS 37

much volume is associated with each issue. If more volume is associated with advancing stocks than declining stocks, the index will fall. TRIN is considered bullish when it is below 1.0 and bearish when it is above 1.0.

BM NYSE TRIN Formula


ADI:=Security("C:\MetaStock A",C); USV:=Security("C:\MetaStock A",V); DCI:=Security("C:\MetaStock D",C); DSV:=Security("C:\MetaStock D",V); (ADI/DCI)/(USV/DSV) Data\BM Data\X.NASDData\BM Data\X.NASDData\BM Data\X.NASDData\BM Data\X.NASD-

BM NYSE Unchanged Volume


This indicator will show all securities with unchanged volume on the Nasdaq.

BM NYSE Unchanged Volume Formula


Security("C:\MetaStock Data\BM Data\X.NASD-U",V)

BM NYSE Upside/Downside Ratio


The Upside/Downside Ratio, as its name implies, shows the relationship between up-volume and down-volume. It is calculated by dividing the daily up-volume by the daily down-volume.

BM NYSE Upside/Downside Ratio Formula


Security("C:\MetaStock Data\BM Data\X.NASD-A",V)/ Security("C:\MetaStock Data\BM Data\X.NASD-D",V)

BM NYSE Upside/Downside Volume


The Upside-Downside volume indicator shows the net flow of volume into or out-of the market. A reading of +40 million indicates that upvolume exceeded down-volume by 40 million shares. Likewise a reading of -40 would indicate that down-volume exceeded up-volume by 40 million shares. The indicator is useful to compare today's volume action with previous days. Currently, normal readings are in the area of 50 million. Very active days exceed 150 million shares (the October, 1987 crash reached -602).
38 BM NYSE INDICATORS

BM NYSE Upside/Downside Volume Formula


Security("C:\MetaStock Data\BM Data\X.NASD-A",V)Security("C:\MetaStock Data\BM Data\X.NASD-D",V)

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