Data &
Technology
Research
Reports
Report Solutions
Reports Library
Actionable
Strategies
Free
Resources
Simple Backtest Calculator
Simple Seasonality Calculator
The Kelly Criterion Calculator
Sentiment Geo Map
Public Research Reports
Free Webinar
Pricing
Company
About
Meet Our Team
In the News
Testimonials
Client Success Stories
Contact
Log inLoginSign up
< BACK TO ALL REPORTS

Composite Breadth Indicator Buy Signal Concept

Dean Christians
2021-09-02
Let's review a concept that uses a composite breadth indicator to identify a reversal in participation with a solid risk/reward profile.

I've shared my composite breadth indicator in several Market Breadth Composite Rank Update notes this year. The composite assesses the market's internal condition across a diverse set of indicator duration measurements to see if the troops are participating or if a handful of generals are driving index performance.

Today's note aims to share a concept that identifies when the composite breadth indicator undergoes a bearish to a bullish reversal in participation.

COMPOSITE BREADTH INDICATOR COMPONENTS

  • Percentage of issues above the 10-day moving average
  • Percentage of issues above the 50-day moving average
  • Percentage of issues above the 200-day moving average
  • Percentage Spread Between 21-Day Highs and Lows
  • Percentage Spread Between 63-Day Highs and Lows
  • Percentage Spread Between 252-Day Highs and Lows

THE CONCEPT

The composite breadth signal identifies when the N-day net change in the composite breadth indicator surges above a user-defined threshold level. The model will issue an alert based upon the following conditions.

SIGNAL CRITERIA FOR THE S&P 500 

  1. If the composite breadth indicator crosses below 12%, then the reset condition is active. 
  2. If the reset condition is confirmed and the 8-day net change in the composite breadth indicator crosses above 47%, and the composite breadth indicator is greater than 17%, then buy.

CURRENT DAY CHART

TRADING STATISTICS

The trading statistics in the table below reflect the optimal days-in-trade holding period of 42 days. When I run optimizations for trading signals, I cap the max number of days at 42.

HOW THE SIGNALS PERFORMED

Results look excellent with a solid risk/reward profile in 6/7 timeframes. 

The sample size is small because the signal requirements have a high hurdle rate. Therefore, I use the model in conjunction with other signals in a weight-of-the-evidence approach.


Sorry, you don't have access to this report

Upgrade your subscription plan to get access
Go to Dasboard
DATA &
TECHnologies
IndicatorEdge
‍
BackTestEdge
‍
Other Tools
‍
DataEdge API
RESEARCH
reports
Research Solution
‍
Reports Library
‍
actionable
Strategies
Trading Strategies
‍
Smart Stock Scanner
‍
FREE
RESOUrCES
Simple Backtest
Calculator
Simple Seasonality
Calculator
The Kelly Criterion
Calculator
Sentiment Geo Map
‍
Public Research Reports
‍
Free Webinar
COMPANY
‍
About
‍
Meet our Team
‍
In the News
‍
Testimonials
‍
Client Success Stories
Pricing
Bundle pricing
‍
Announcements
‍
FAQ
© 2024 Sundial Capital Research Inc. All rights reserved.
Setsail Marketing
TermsPrivacyAffiliate Program
Risk Disclosure: Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

Hypothetical Performance Disclosure: Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

Testimonial Disclosure: Testimonials appearing on this website may not be representative of other clients or customers and is not a guarantee of future performance or success.