Thursday, May 26, 2011

Desi MO (McClellan's oscillator for NSE) for 26 May 2011


Posted by r m at 8:27 PM

18 comments:

Shai said...

Thank you RM for the chart

Two observations :

a) Vix, down, mkt up, but declining volumes not really up there today.Often puts a question mark on the rise.A slightly better declining volume graph would have helped.

b) MCClellan is coiling up. Often it results in a large move in stocks when it behaves like that.

May 26, 2011 at 10:41 PM
Shai said...

V2 updated with the charts for June series.

May 26, 2011 at 10:42 PM
r m said...

Thanks Shai!

Even though the declining volumes have gone slightly up (by less than 5%), the advancing volumes have jumped up by 50% from yesterday.

Did some calculations on impact of dividend on BN, it is almost 1.3% if my calculation is right!

May 26, 2011 at 10:53 PM
r m said...

BN impact calculation spreadsheet - https://spreadsheets.google.com/spreadsheet/ccc?key=0Ase3dtbFwQWUdDJHZTJVZWFQcGtDdXRVYzR6Wkg4Wmc&hl=en_US

May 26, 2011 at 10:54 PM
manu said...

amazing rm..thnx

May 27, 2011 at 8:39 AM
manu said...

rm..hw u gt dividend figures??

May 27, 2011 at 8:40 AM
r m said...

@manu

Har marj ki dawa - Google. :))

May 27, 2011 at 8:42 AM
Shai said...

Thanks RM for the dividend calculation. Cannot expect BN to be in premium till all go ex-dividend.

According to your calculations, all other factors remaining the same, BN should progressively increase the discount in the first part of the month and gradually be at par as expiry nears

If BN options were more liquid, one could have used a ratio spread.

May 27, 2011 at 12:05 PM
Shai said...

https://www.facebook.com/vtrenderlive

May 27, 2011 at 1:36 PM
mo h said...

GoodEvening, Shai & RM & Manu ...
its a weekend short prowl for me.
:D

I am gonna post now in this comment some short notes i found on McClellan. I will split in 2 paras and post in 2 comments.
mo h
:D

May 28, 2011 at 2:23 AM
mo h said...

Definition:
The McClellan Oscillator is a technical indicator based on the New York Stock Exchange, not any one particular stock. It is a short term and intermediate term "market breadth" indicator, meaning it is designed to determine the strength of a market trend. This is based on the concept that a robust uptrend or downtrending market is characterized by a large number of stocks advancing or declining moderately, rather than a small number of stocks making large gains or losses.

The McClellan Oscillator is calculated by subtracting a 39-day exponential moving average of the difference between the advancing issues and the declining issues from a 19-day exponential moving average of the difference between the advancing issues and the number of the declining issues in the New York Stock Exchange.

May 28, 2011 at 2:23 AM
mo h said...

Interpretation:
Volatility has several uses and potential interpretations.

There are two major sets of interpretations for the McClellan Oscillator.

The first interpretation is to use regions to derive bullish and bearish signals. If the Oscillator extends below -100 or above 100, it represents extreme oversold/overbought conditions, and suggests a continuation of the current downtrend or uptrend for a short-to-intermediate period of time, respectively.

If the McClellan Oscillator falls into the -70 to -100 region and turns up, it can be considered bullish. On the other hand, if it rises into the +70 to +100 region and turns down, it can be considered bearish.

The second interpretation is to look at whether the Oscillator is positive or negative.

When the indicator goes from negative to positive, a bullish signal is generated.
When the indicator goes from positive to negative, a bearish signal is generated.

May 28, 2011 at 2:24 AM
mo h said...

Takecare :))
will try to visit asap.
Bye!!

May 28, 2011 at 2:24 AM
mo h said...

Breadth Advance/Decline

Definition:
The Breadth Advance/Decline is a market breadth indicator developed by Martin Zweig. It is an indicator designed to track the momentum of the broader market and anticipate large upswings or downswings in price. This is based on the concept that the number of advancing securities accompanying a market rise is positively correlated with the probability for further advances. Likewise, the number of declining issues pushing the market downward can be correlated with the probability for further declines.

The Breadth Advance/Decline is calculated by taking the 10 day simple moving average of the number of advancing issues and dividing that number by the sum of the total amount of advancing issues and the total amount of declining issues on the New York Stock Exchange. The neutral point of the Breadth Advance/Decline indicator is .500 in a range of zero to one.

May 28, 2011 at 2:26 AM
mo h said...

Interpretation:
There are several common modes of interpretation for Breadth Advance/Decline.

One type of interpretation involves extremely bullish or bearish behavior. When the Breadth Advance/Decline goes above .66, it can be considered very bullish conditions. If it falls below, .37, it can be considered very bearish conditions. Other indicators can verify whether these conditions warrant an overbought/oversold market or whether the market will continue in its current trend.

A second type of interpretation involves the rapidity of a rise or decline in the indicator. A rapid decline (defined as approximately .2 with 10 days) can indicate that the market has shifted from a simply overbought market to one of true weakness, potentially forecasting a prolonged bear market. A steep increase (defined as approximately .2 within 10 days) can indicate that the market has shifted from an oversold market to one of robust strength, potentially forecasting an extended period of strong growth. Remember, the Breadth Advance/Decline studies the entirety of the NYSE, and not individual stocks.

A final type of interpretation involves a crossover of the neutral line.

When the indicator goes from negative to positive (crosses above .500) a bullish climate can be interpreted for the market, and confirmed by other indicators for individual stocks or industries.

When the indicator goes from positive to negative (crosses below .500) a bearish signal can be interpreted for the market, and confirmed by other indicators for individual stocks or industries.

May 28, 2011 at 2:26 AM
r m said...

@moh

Wow! You guys know so much that I feel like a villager on his first visit to Delhi/Mumbai!

Thank you!

regards
rm

P.S. let me begin looking for my wrench and other tools - such are the travails in the life of a poor plumber. :D

May 28, 2011 at 9:29 AM
r m said...

@moh

I am glad to report that my plumber's tool were not required at all! The breadth Advance/Decline is available in Amibroker library as 'Breadth Thrust' and the value of 'Desi Breadth Thrust' for friday closing was 0.46. So it is in neutral territory and not rapidly advancing either.

May 28, 2011 at 10:41 AM
Shai said...

@ Moh,

Thank you for the valuable lesson.Also for taking the time to come and share it here.

There's more info on McClellan at stockcharts :

"http://stockcharts.com/help/doku.php?id=chart_school:technical_indicators:mcclellan_oscillator"



Also a small write up at the end of breadth thrust

May 28, 2011 at 11:08 AM

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