Over the past few weeks, the cumulative dollar weighted up-down volume lines for MID, RUT, and SML broke to new all time highs, preceding the actual index price breakouts. The $ weighted up-down volume is calculated by multiplying the closing price (or average of the H-L-C) and the volume of each index component, summing the advancing and declining $ weighted volume, and adding up the net $ weighted volume. This indicator does an excellent job of leading price.
The first chart is the RUT component cumulative $ weighted UD volume line. Note the RUT version broke to new highs almost a month before the index price broke out. MID and SML exhibited similar behavior, although the SML component $ weighted volume provided only a few days advance notice.
After struggling, the NYA component (common stocks on the NYSE) cumulative $ weighted volume line finally broke to an all-time high on Monday, 7-11-05. The below chart of the NYA $ weighted UD volume line is a "sneak preview" of a project led by Tom McClellan that is yielding some very interesting results in several breadth indicators of the various groups of stocks traded on the NYSE.
Tom will be introducing the "full fruits" of this collaboration in his publications later this summer. Below is an abbreviation of one of the many data sets coming soon in Tom's daily and twice monthly work. Typically, when the cumulative $ weighted UD volume line breaks out, or to new highs, price invariably follows, thus the NYA all-time price high is likely in danger of being broken.
The SPX and RUI (Russell 1000) component $ weighted UD volume lines are getting close to challenging their respective recovery highs, but still have a bit of work to do. The NDX variant is in an uptrend again, but has some ground to cover before taking out its solid overhead resistance.
When time allows, charts for the SPX, RUI, and NDX $ weighted UD lines will be posted.