MasterDATA's Composite Plug-in for
MetaStock
and historical composite breadth datafiles on 34
major stock indexes and the 181 highest trade volume
ETFs.
composite breadth data is a measure of what the individual components of a composite (a market, an index or ETF, etc.) have experienced in sum total. For example, if 376 of the Standard and Poor 500 Index constituents experience an increase in price for the data period, "advances" or "advancing issues" would be 376.
Traditionally called "breadth" data, these statistics have been compiled for decades on the NYSE, AMEX and NASDAQ markets. We feel that "composite" or "composite breadth" data is a more accurate term and generally refer to the data as such. Relative to financial markets, composite data can be compiled on any grouping of trading securities. Markets, indexes, mutual funds, exchange traded funds and even your own "basket" of stocks can provide composite data. Composite data includes such measures as advancing / declining issues, advancing / declining volume, new highs / lows, etc. Until now, however, such data has never been readily available on anything except the three major exchanges.
composite breadth Statistics Currently Included In Our .csv Datafiles
Click on the help button for more information about the statistic and its column in the spreadsheet
Open Price
High Price
Low Price
Close Price
Index/ETF Trade Volume
Equal Weight Open Price
Equal Weight High Price
Equal Weight Low Price
Equal Weight Close Price
Upper Trend Channel
Trend Channel Pivot
Lower Trend Channel
Up Trends
New Uptrends
Down Trends
New Downtrends
Advancing Volume
Declining Volume
Total Component Volume
Advances
Declines
Issues Traded
Issues Unchanged
New Highs
New Lows
New 1st Day Highs
New 1st Day Lows
New Highs - Quarter
New Lows - Quarter
New 1st Day Highs - Quarter
New 1st Day Lows - Quarter
% above 200MA
% above 30MA
% above 18MA
% above 9MA
% above 4MA
Total Stks above 200MA
Total Stks below 200MA
Total Stks equal 200MA
Total Stks above 30MA
Total Stks below 30MA
Total Stks equal 30MA
Total Stks above 18MA
Total Stks below 18ma
Total Stks equal 18MA
Total Stks above 9MA
Total Stks below 9MA
Total Stks equal 9MA
Total Stks above 4MA
Total Stks below 4MA
Total Stks equal 4MA
Index or ETF Open, High, Low, Close, Trade Volume
Excel Column
Open Price
D
High Price
E
Low Price
F
Close Price
G
ETF Trade Volume
BB
Description:
Historic price data from 1990 through the current date (or starting date of the index or ETF if later) is contained in the composite .csv datafiles. Only an Exchange Traded Fund can have trade volume. Volume for indexes is total component volume.
Index or ETF Equal Weighted Open, High, Low, Close
Excel Column
Equal Weight Open Price
AX
Equal Weight High Price
AY
Equal Weight Low Price
AZ
Equal Weight Close Price
BA
Description:
composite breadth data is inherently equal weighted, meaning that every component counts equally in the totaled composite number. For instance, if 328 components of the S&P 500 Index gain for the day, the "advances" composite statistic is 328. One stock does not carry more or carry less weight than any other. On the other hand, the majority of indexes and ETFs are not equal weighted, but instead, either price weighted like the Dow Jones Industrial Average or Cap Weighted like the S&P 500 Index.
The possibility therefore exists that, at least to some extent, using composite data with market priced indexes and ETFs could be like comparing apples and oranges. To address this issue, these values reflect recalculating historical price history of each index and ETF as an Equal Weight composite. For more information about index and ETF weightings, click here (this is a .pdf file).
Historic price data from 1990 through the current date (or starting date of the index or ETF if later) is contained in the composite datafiles.
Use:
Eliminates any possible weighting method conflict when using composite breadth data with an index or ETF. While the overall chart patterns remain basically the same, price moves are generally smoother. A large price move in a heavily weighted component does not overly impact the index or ETF value unless other components experience similar movement. From a technical analysis point of view, equal weighting might be considered the ideal weighting methodology for composites. In any event, the data is provided at no additional charge. It is your decision and your decision alone to use it or not.
Calculation:
For each component:
Relative Component Price = 100 *
Current Price
Beginning Current Year Close Price
For the parent index or ETF
Equal Weighted Composite Price =
Total of Relative Component Prices (above)
Number of Components Traded
This calculation is performed on the open, high, low and close prices for each data period to create the historical price file.
A proprietary indicator identifying the current trend of the subject security. Historic data from 1990 through the current date (or starting date of the index or ETF if later) is contained in the composite datafiles. Click Here for an example of this indicator.
Use:
An old market axiom is "Follow the Trend". This is true, but also as trends age there is a growing certainty of an eventual reversal. Readily "seeing" the current trend may provide opportunities for entering positions earlier to take advantage of such reversals in aging trends. In any case, knowing the current trend keeps trading perspective.
Closes above the middle pivot line (red line on the chart) are defined as an uptrend, while closes below this line are indicative of a downtrend.
The above described MasterDATA Trend Channel Indicator is calculated for each component issue of the subject index or ETF. This information is then compiled to determine the number of issues within the index or ETF that are in new or continuing uptrends or new or continuing downtrends for any given period. Historic data from 1990 forward through the current date (or starting date of the index or ETF if later) is contained in the datafiles. Click Here for an example of using this statistic. The indicator is expressed in terms of percentage.
Use:
If knowing the current trend of the subject index or ETF is important, knowing the current trend of every component issue within that index or ETF provides tremendous insight into the "internals" of what is happening. Overbought and oversold conditions are readily identified as well as potential Index turning points and likelihood of a continuing trend.
Index/ETF Volume - Advancing, Declining and Total Volume Of All Component Issues
Excel Column
Advancing Volume
S
Declining Volume
R
Total Component Volume
O
Description:
The total advancing, declining or combined volume of all component stocks within the index or ETF. While this volume data is readily available from other sources for the NYSE, AMEX and NASDAQ composites, it is available here for all indices and ETFs followed and contained not only in the composite datafiles, but also total component volume is contained in the historical MetaStock format price datafiles for all indexes and ETFs followed. Click Here for an example of advancing and declining volume used to calculate two indicators, the McClellan Volume Oscillator & Volume Summation Index.
Use:
Total advancing, declining and combined index/ETF volume can say a great deal about the current movement and conviction of the market index especially relative to historical volume. This statistic is used in many composite indicators. These compiled statistics are used in calculating the index or ETF McClellan Volume Oscillator and Volume Summation Index, TRIN, Arms Index, Open Arms Index, Climactic Volume Oscillator (CVI), etc.
Total Components Advancing, Declining, Unchanged and Traded
Excel Column
Advances
P
Decline
Q
Issues Traded
V
Issues Unchanged
W
Description:
The total number of advancing, declining, unchanged and traded component issues is calculated for the index or ETF for the given data period. Historic data from 1990 forward through the current date (or starting date of the index or ETF if later) is contained in the datafile. Click Here for an example of these values used to calculate two indicators, the McClellan Oscillator & Summation Index.
Use:
This compiled statistic is used in calculating the index or ETF Advance/Decline line (AD Line), McClellan Oscillator & Summation Index, TRIN, Arms Index, Open Arms Index, etc.
The total number of new one year highs or new one year lows in component issues is calculated for the index or ETF for the given data period. Historic data from 1990 forward through the current date (or starting date of the index or ETF if later) is contained in the datafile. Click Here for an example of these values used to calculate an indicator.
Total components with new 1st day one year highs or lows is calculated for the index or ETF by counting the total number of components setting new price highs or lows for the first time with no immediately previous new price high or low.
Use:
There is a definite tendency that one new high will be followed by subsequent new highs. New highs often mark the beginning or end of a trend. Both also apply for new lows.
The total number of new one quarter highs or new one quarter lows in component issues is calculated for the index or ETF for the given data period. Historic data from 1990 forward through the current date (or starting date of the index or ETF if later) is contained in the datafile. Used exactly like new one year highs and lows above
Total components with new 1st day one quarter highs or lows is calculated for the index or ETF by counting the total number of components setting new price highs or lows for the first time with no immediately previous new price high or low.
Use:
There is a definite tendency that one new high will be followed by subsequent new highs. New highs often mark the beginning or end of a trend. Both also apply for new lows.
Component Closes Above Specified Period Moving Averages
Excel Column
Excel Column
% above 200MA
X
% above 30MA
Y
% above 18MA
Z
% above 9MA
AA
% above 4MA
AB
Total Stks above 200MA
AC
Total Stks below 200MA
AD
Total Stks equal 200MA
AE
Total Stks above 30MA
AF
Total Stks below 30MA
AG
Total Stks equal 30MA
AH
Total Stks above 18MA
AI
Total Stks below 18MA
AJ
Total Stks equal 18MA
AK
Total Stks above 9MA
AL
Total Stks below 9MA
AM
Total Stks equal 9MA
AN
Total Stks above 4MA
AO
Total Stks below 4MA
AP
Total Stks equal 4MA
AQ
Description:
A count of component issues above a specified moving average expressed as a percentage or provided as an actual count of components above, below or equal to that moving average. Historic data from 1990 forward through the current date (or starting date of the index or ETF if later) is contained in the datafile.
Use:
The percentage of component issues above their 200 day moving average is considered a reliable indicator of long term movement in the securities market. When above 70% and subsequently declining below 70% it is considered to mean that the long term direction of the market has turned bearish. Vice-versa, when below 30% and subsequently rising above 30% a bullish indication is given. Click Here for an example of this indicator.
The same chart (lower inside window) displays the percentage of components above their 4 day (green line), 9 day (black line), 18 day (pink line) and 30 day (blue line) moving averages. The shorter term moving averages provide remarkable insight into the shorter term internal strength or weakness of the index or ETF. Developing and deteriorating trends may be detected very early.
Disclaimer: This material is for your private
information. We are not soliciting any action based upon
it. Opinions expressed are present opinions only. The
material is based upon information considered reliable,
but we do not represent that is accurate or complete,
and it should not be relied upon as such. We, or persons
involved in the preparation or issuance of this material
may, from time to time, have long or short positions in,
and buy or sell the securities or options of companies
mentioned herein.
button for more information about the statistic and its column in the spreadsheet