No. of Recommendations: 10
We must be talking about two different things. I'm not interested in that Nasdaq graph. I am trying to reconstruct Robbie's BCC signal which clearly is derived from SPY closing prices. I am currently working on the part that has to do with New Highs and New Lows which GTR1 shows as:
Create [PcntNHC252]: [100*[[Sum [[[Closing g-price; quote_lag=0 days]/[Highest closing g-price over 251 days; lag=1 days]] > 1 ? 1 : 0] at step4]/[StockCount]]]
Create [PcntNHC252WMA9]: [[Weighted Sum of [PcntNHC252] over 9 days (daily weights=9,8,7,6,5,4,3,2,1); lag=0 days]/[Weighted Sum of [1] over 9 days (daily weights=9,8,7,6,5,4,3,2,1); lag=0 days]]
Create [PcntNLC252]: [100*[[Sum [[[Closing g-price; quote_lag=0 days]/[Lowest closing g-price over 251 days; lag=1 days]] < 1 ? 1 : 0] at step4]/[StockCount]]]
Create [PcntNLC252WMA9]: [[Weighted Sum of [PcntNLC252] over 9 days (daily weights=9,8,7,6,5,4,3,2,1); lag=0 days]/[Weighted Sum of [1] over 9 days (daily weights=9,8,7,6,5,4,3,2,1); lag=0 days]]
Create [NHNLDiff]: [1*[PcntNHC252WMA9] - 1*[PcntNLC252WMA9]]
I see I still have to bring the part about [PcntNHC252WMA9] so my nap time revelation as I described earlier is not quite complete.
Larry, I think you're completely lost.
The signal we're talking about looks at new highs and new lows among all Nasdaq listed stocks, as of the latest market day. If let's say there are currently 3000 Nasdaq stocks, and 300 of them hit a new 52 week high today, and 198 of them hit a new low, then NHNL for the day is 300-198=102. You can go back to previous days with the same calculation, which allows you then to produce any desired moving average, for smoothing purposes.
If the signal threshold is exactly zero, that's all you need to do. But if you're going to choose a non-zero threshold, as Zeelotes does, then the "new high count minus new low count" metric creates a problem. As the total number of Nasdaq listed stocks changes over time, the meaning of e.g. a -10 threshold for the signal changes. -10 out of 3000 stocks is not the same as -10 out of 2000 stocks. That's where the percentage calculation comes in. So, instead of calculating a simple difference, you calculate the percentage difference. i.e. 102/3000=3.4%, which is compared to a threshold of e.g. -10/3000=-0.33%.
Once you've got the threshold defined, and today's percentage of NHNL, and the moving average of your choosing, then you know your signal - bullish or bearish. And you can apply that signal to your investment of choice, in this case it's SPY I suppose.
Elan
