Replies to post #36764 on Profunds index and sector trading (PRO)

[Namiar]

Hi Rick,

I think that file I sent you was a little garbled.

Will try again later on after importing into Excel. I'm having trouble downloading from Masterdata right now.

[Namiar]

Hi Roca,

I neglected to mention how to create an oscillator from the NAZ up/down volume data. Ideally, you want a number that gets progressively more negative in OS conditions, and more positive in OB conditions.

To create the oscillator for a daily number:

Nasdaq OB-OS Oscillator Value: we'll call it NOOV.

NOOV = (UpVol/(UpVol+DownVol)) - (1 - (Upvol/(UpVol+DownVol))

This will be a fraction, so multiply it by 100 for a clean number. On a given day, if Up Volume is 600M and Down Volume is 400M, the Daily NOOV is:

0.6 - (1-0.6) = .2

Multiply by 100 and you have 20.

So now if you take that 10-day weighted moving average, you will get some number that you can work with. In my RAIM program, I will also weight the daily number by the daily total volume with respect to the 40DMA of total volume. This way, low volume days are not weighted as much as high volume days.