ajtj99's Market Pulse

[Koikaze]

LOOKING BACK is a report I create every night for the guidance of my daughter, who does my trading. AJTJ has graciously given me permission to put the report on this board every evening. I hope it proves of value to some.

This page contains explanations and descriptions for "LOOKING BACK" reports. Each report will carry a link to this page so those interested can gain a clearer understanding of the data reported. The reports attempt to provide a clear look at the current state of the market. flg

EXPLANATIONS AND DESCRIPTIONS

Some Worden Brothers labels (for example, the indicator names below) may creep into my notes. I'm not sure how troublesome this will be, but I would expect to be asked for an explanation if I use one without describing it.

VOLUME FACTOR is the daily volume on the NYSE and NASD (I ignore AMEX and OTC) in 1,000's, divided by 5,000,000. The 5 million is an arbitrary number. The volume factor is each day's volume as a percentage of 5 million and is used to relate one day's volume to another. The volume factor is applied to COMPOSITE (below)

PUT/CALL RATIO uses Zeev's method of excluding the QQQ's.

COMPOSITE is a combination of ten sets of numbers I've been accumulating for a year or so. They include the number of NYSE and NASD issues above/below their 10-DMA, a couple that rate the the number of 209 Media General Stock Groups as bullish/bearish in different ways, and several that are generated using Worden Brothers software. The sets have different degrees of latency because some use 30-days and other 45-days of data. They are "normalized" (in terms of each other, not in terms of latency) by applying a factor to each set and then combining them. I only have data since last July 23rd, but the chart it produces seems to give a good picture of where the market's been.

BOX VALUE is calculated by creating "boxes" (not "real" or "Darvas" boxes) by using 15-day data and setting the second-highest HIGH as the top and the second-lowest LOW as the bottom, then calculating the most recent close. From that, a multiplier is applied to the state of the current close:

 
 +4 = out of box above 
 +3 = at top of box 
 +2 = in top quarter of box 
 +1 = in 2nd quarter of box 
  0 = at midpoint of box 
 -1 = in 3rd quarter of box 
 -2 = in bottom quarter of box 
 -3 = at bottom of box 
 -4 = out of box below 
 

These values are calculated for about 7,000 stocks, and summed. The BOX VALUE is the result. Like COMPOSITE, it seems to give a good picture of where the market's been. (I apologize for using the term "box", since I believe that has a specific meaning. I'd change it if I could come up with a decent 3-letter replacement for it.)

Most of the individual items (DIA, QQQ, NASDAQ, DJ-30, etc.) have a POWER and a STRENGTH rating. These terms mean:

POWER is an indication of how an item is doing in relation to its recent history (about 40 days).

STRENGTH is the current close in relation to the "box" described above. Note that ZERO is the mid-point of the box, +.50 is the top of the box, and -.50 is the bottom of the box. If you look at DIA and QQQ in last night's report, you can see that DIA has stayed in the upper half of its box, while QQQ has been in the lower half except for a bullish excursion on February 18th.

The 10 INDICATORS are:
(The labels are from Worden Brothers)

T2100 Advance/Decline Line
T2102 Bolton-Tremblay
T2104 Cumulative Volume Index
T2107 % Above 200-Day PMA
T2108 % Above 40-Day PMA
T2109 % 1 Channel Above 200 Avg
T2111 % 2 Channel Above 200 Avg
T2117 52-week New High / New Low Ratio
T2125 Nasdaq Advance/Decline

I'm not impressed with the value of these indicators and have considered dropping them. For now, though, I'm keeping them up.

SUMMARY OF IMPRESSIONS FROM "LOOKING BACK" consists of notes on ideas that strike me as I make the report. I leave the old notes for about a month, for reference.