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Stock Market Momentum Indicator

by MikeMM, 2747 days ago
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The Stock Market Momentum Indicator is a proprietary stock market indicator created by the Commodity Research Bureau (crb). It is mainly used to determine the general direction of the market. Based on S&P 500 stock prices, this indicator analyzes some stocks and calculates the ratio of the percentage of those who are trading above their 50-day simple moving average.

According to crb, the Stock Market Momentum Indicator should be smoothed with two moving averages (10-day and 25-day). The basic interpretation consists of the following: The market is in a downtrend when the 25-day moving average turns down and crosses above the 10-day moving average. There are a couple of things you can do to filter out some false signals that may be generated by the latter rule. For example, you can remove signals that occur while the 25-day moving average of the stock market momentum indicator is far from 0 or 100. Other methods include using oversold/overbought indicators or divergence patterns.

More information can be found here:
http://www.crbtrader.com/crbindex/smmi.asp

This indicator is created in QuantShare by downloading its data from crb website. The data spans from 1992 to the present and it is associated with the following ticker symbol: ^SMMI

To get some variations of the percentage of stocks trading above their moving average, you can use one of the following composite indicators:
Percentage of Nasdaq 100 stocks that closed above their 10 day moving average
Percentage of Stocks that are trading between their 50 and 200-day Moving Averages
Ratio of stocks trading above their moving average plus one standard deviation to...

Note that the Stock Market Momentum data is available in Excel format and thus you must have Excel installed on your computer in order to use this downloader.


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Type: Download Script

Object ID: 1131


Country:
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Market: Stock Market

Style:
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