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The New-High/New-Low Spread, sometimes called New-High minus New-Low Oscillator, is a market breadth indicator constructed by taking the difference between the number of stocks listed on the NYSE that are making new 52-week highs minus the number of stocks listed on NYSE that are making 52-week new lows. You can easily update the composite indicator formula to use stocks listed on NASDAQ or AMEX (American Stock Exchange) instead of those that trade in the New York Stock Exchange.
The New-High/New-Low Spread results in a fast oscillator that moves up as more stocks are advancing and are making new highs than stocks making new lows, and moves down when more stocks are declining and are making new lows than stocks making new highs. The oscillator can be smoothed using a simple or exponential moving average with a small lookback period if you are a short-term trader or a higher lookback period if you are a long-term investor.
The composite indicator values can be either positive or negative; when its value crosses the zero line, a change in trend is signaled. A New-High/New-Low Spread value above the zero line indicates that the market is bullish, whereas a value below the zero line indicates that the market is bearish. As with most oscillators, there is one overbought and one oversold area (The thresholds used to define these areas may not be fixed and can be changed depending on the market conditions). When the composite indicator reaches the overbought (oversold) area, it is likely that it will change its direction; therefore this could be interepreted as a bearish (bullish) signal.
The 52-week new highs and 52-week new lows historical data, which are used by this composite to create the New-High/New-Low Spread index, can be downloaded here NYSE, AMEX and NASDAQ 52-week high and low data. This data goes back to 2005 and it is downloaded separately for three major U.S. exchanges: NYSE, NASDAQ and AMEX.
