The most basic of all techniques for detemiining martlet breadth is the Advance-Decline Index, which creates a new series by adding the net of the number of advancing and declining stocks each day. Unchanged issues are ignored.

B.tii IEV andtiie Volume Acmmulatrare cL.nacterizedas m.juentuni sy.-teniE See Ib..ter 6 inPinuation on similarteclumjues

Advance-Decline Oscdlator = Advances - Declines

Advance-Decline Index,- = Advance-Decline Index„j.., + advance - decline

In some of the techniques that follow, only the oscillator, or single-period calculation, may be shown. An index can be created by accumulating these values.

Sibbetts Dernand Index

one method that smooths out volume because it uses the total activity of the past 10 dajs is james Sibbetts Dernand Index. The technique bears a reserriblance to the spproach used in Wilders RSI. It can be used as an oscillator with individual daily values or accumulated into an index. The individual dajs are calculated as:

@sum(upside volume, 10)

Demand Index = -e-r----

@sum(downside volume, 10)

where (fflsum is a function that sums the past 10 dajs of upside and downside volume, found in the Wall Street joumal under the heading "Trading Activity" Arthur Merrill, anottier well-known stock analjst, has suggested appljing 5 days to this same technique.

Asprajs Demand Oscillator

Using direction to separate volume into two senes of Bujing Pressure and Selling Pressure, Aspray then nets thern into his own Demand Oscillator 3 Note that during a rising market the selling pressure has been divided by a percentage of the volume, which has been scaled to be greater than I. The following calculations show the separate st s needed to create Asprays Dernand Oscillator:

For rising prices:

Bujing Pressure = volume

Selling Pressure = 7---""""-

V cioscpn ;

For declinir prices; Buying Pressure =

/ close-dose\ and where

3xdose

@avg(@bighest(high, 2) - @lowest(low, 2), 10)

Dernand Oscillator = BP - SP

IS volatility scaling factor, which is 3 times the dosing price divided by the 10-day movmg average of the 2-day high-low range, and has a value likely to be well over 100. For example, if the S&P is trading at 600 and the average volatility is 10 full basis points (which is very high for a lOday average), then K= 1,800/10 = 180.

e 19.1), and"Den,and(»:illatorM.ji,

Bolton-Tremblay

Introducing the net advancing stods compared with the number of stods that were unchanged, the Bolton-Tremblay approach also includes a form of geometric weighting of the results:

if Bolton-Tremblay,od„ > 0 then Accum BTy=Accum 67 + VBolton-Tremblay„d„ if Bolton-Tremblay, < 0 then Accum BT, Accum BTp,™„ - VBolton-Tremblay,,, Schuhz

Schultz chose to look at the adrancing stocks only as a percentage of the total stocks:

Schultz A/T = Schultz A/r„ +-advancing-

rv advancing + declining + unchanged

McClellan Oscillator

Similar to the Advance-Decline Index, the McClellan Oscillator does not accumulate the net change in breadth, but looks at the individual changes as an oscillator-

McClellan Oscillator = advances - declines

Upside/Downside Ratio

A simple upside/downside ratio (UDR) has also been used; however, the ratio value has no sj-mmetrj. When the declining volume is very low, for example, only 20°o of the total volume, the UDR will have a value of 4.0. In contrast, if the advancing volume is low, the ratio is limited to the range between 0 and 1.

Advancing volume Declining volume

Tick Volume Indicator

in a manner similar to Wilders RSI, Blau double smooths the tick volume as a way of confirming price direction. The Tick Volume Indicator (seen in Figure 10-1) is:

100 X DEMA(upacks. r,s)- DEMA(downticks. r. s) ~ DEMA(upticks, , s) + DEMA(downdcb, r, s)

which ranges from -100 to +100 and where DEMA is the double (EMA) smoothing of the downticks or upticks over the past s bars, with the initial smoothing over r bars.

Programming Volume Indicators

Volume indicators are easj programming on both a apreaddieet and Omegas Easj Language. The following examples include only some of the indicatcrs discussed in this chapten the others are very similar and can be added using the same form.

Spreadsheet Code

Using Corels Quatho, the following spreaddieet shows the Eurodollars beginning in April 1993. The calculations for On-Balance Volume, Volume Accumulator, and Price-Volume

FIGURE 10-1 Blaus Tick Volume Indicator. ("• .,.........

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Blau- Reprinted by permisston rfjohn Wil * Sons, Inc.

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Trend are shown in the rightmost three columns. The spreadsheet code for these calculations are shown after the sanple output.