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TW Patron++
Posts: 1,054
Reply with quote  #1 
The following several charts provide a look at various US stock market money flow indicators you may not have seen elsewhere.

First a few cumulative money flow lines beginning with the 4000 highest cap US common stocks meeting the criteria established by the Russell group.  The 4000 issues are a composite of the Russell 1000 (RUI), Russell 2000 (RUT), and Russell MicroCap index which contains about 1000 issues not included in the RUI or RUT indices. This group of issues (I will call R-4K) are distinct US operating companies (no class B issues, Berkshire-type issues, etc), and are spread across the NYSE, NASDAQ, and AMEX exchanges.

The R-4K cumulative $ weighted UD ($UD) volume line is compared with the Russell 3000 (RUI) price as total market proxy.  The $UD data is derived by multiplying the daily closing price and volume of each issue in the R-4K universe, then placing the advancing stocks' $UD number into the "up" column and the declining stocks' $UD value in the "down" column.

It is difficult to discern from the bird's eye view presented in this chart, but the R-4K $UD line has achieved a new all-time high during the recent consolidation.

Next the R-4K standard cumulative up-down (UD) volume line, which is ratio adjusted.  Same story here, new high in the R-4K UD volume line, positively diverging with price.

Next the R-4K cumulative advance-decline (AD) line.  After reaching a new all-time high in early June 2007, the R-4K AD line is approximately 3400 net advances from breaching its early June high.  I also break down the R-4K universe into four quartiles, and none of the four quartiles' AD lines have broken their respective June highs.... but none of their respective unweighted price averages achieved new highs either.

The R-4K Price Change Volume ($PCV) line is derived by determining the daily closing price change of each component and multiplying the price change by the component's closing volume.  This indicator essentially provides a daily change in value of this group of stocks.  The R-4K $PCV line has been extremely strong not only as a group, but has been achieving new highs in three of its four quartiles, with the smallest 1000 stocks (fourth quartile) still nominally below its early 2005 all-time high.

The NYSE only common stock daily AD line has broken to the upside of a triangle created over the past several weeks.  The NYSE common AD has not confirmed the nominal new high in the NYSE Composite index (NYA), but the daily unweighted NYA has not made a new high either.

The NYSE common stock $UD line has also broken to new highs.  Keep in mind the NYSE common stocks typically account for 97% of the daily volume traded on the NYSE.

A SPX money flow line which is derived from the theoretical high, low, and closing $PCV data for each component, which is then plugged into the Chaiken money flow formula made a strong surge last week blasting to new highs, erasing a bearish divergence that was forming.  I have found this money flow indicator provides some of the better diverging signals at price highs.

The NDX $PCV Chaiken money flow line exhibited the same thrust of power over the past few trading days as the SPX.

Shifting to weekly cumulative AD lines is the weekly NYSE common stock only AD line.  The consolidation over the past several weeks has allowed the weekly common stock AD line's 5% trend to play catch up.

The weekly NYSE composite (all issues) AD line has been forming the same type of consolidation as the weekly common AD line, allowing a reduction in distance between the composite weekly AD line and its 5% trend.

A look at some of the McClellan Summation indices (McSum) starting with the daily NYSE common stock AD McSum.  The NYSE common AD McSum managed to find support (for now) at its March 2007 low.

Those who monitor the common stock AD McSum at Decision Point (DP) may say, "the DP common AD McSum" nominally broke the March 2007 low".  I don't mean to split hairs, but the data presented below is a product of a collaboration with Tom McClellan over past couple of years, and the changes in the common stock list as reported by the NYSE is judiciously kept up on a daily basis, and I would put the accuracy of Tom and my data up against anyone's. 

We spent literally hundreds of hours researching what comprised the common stocks listed on the NYSE since late 2001, so I say the below common data accurately portrays the proper configuration of this group of stocks' AD indicators.

The weekly NYSE common stock AD McSum, derived via the collaboration with Tom McClellan, and the only weekly NYSE common stock data I am aware of. The weekly common AD McSum has found some level of support at its August 2005 high.

The weekly NYSE composite AD McSum, which has rolled over following a solid stay over the +1500 zone.  The +1500 level for this indicator has been  initiation thrust zone for this data over the past 67 years, and we can expect much higher prices over the months ahead due the strength in this tool.

The R-4K AD McSum dipped briefly below zero, above its March 2007 low, and has now touched the zero line from below.

The R-4K $UD volume McSum finding support at the +500 line and the support trendline drawn across its July 2006 and March 2007 lows.  Holding above the +500 level over the coming weeks would be very bullish for the coming months,

The R-4K $PCV volume McSum exhibited incredible strength from its summer 2006 lows, and has found at least temporary support at the former resistance trendline across its summer of 2005 and December 2006 highs.

The NYSE $PCV volume McSum (not included) has posted a more powerful initiation thrust than the thrust from the 2003 lows... so something very powerful is brewing for price upside appreciation over the coming months.

The R-4K AD MCO: divergence, short term triangle breakout, and nominal break of its June high.

R-4K $UD MCO: more of the same (as the AD MCO).

R-4K traditional UD volume MCO: yet more positive action.

The weekly NYSE common AD MCO: has clawed its way back above zero, now neutral.

The weekly NYSE composite AD MCO: the heavy bias of very interest rate sensitive issues in the total NYSE universe took its toll over the past weeks, with this weekly MCO violating 3-year support.  The weekly composite AD MCO has a lot of work to do in over coming several resistance thresholds above.

With some of the options indicators not looking good for the bullish case, the Hurst 4.5 year cycle lows still looming, and a large cluster of bottoming signals in the McClellan timing model due in late July, there could be some problems for the bulls in the next few weeks, but during the recent consolidation, there has been quite a bit of evidence looking more like accumulation than distribution...  the next couple of weeks will likely reveal what the recent strength in volume plurality is telling us... stay tuned.



TW Patron++
Posts: 497
Reply with quote  #2 
Incredible presentation of a unique analysis of the broad market breadth and volume data. The charts just went on and on. Thank you Randy for sharing your hard work.

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