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Percentage of Nasdaq 100 stocks that closed above their 10 day moving average

by saratur, 4780 days ago
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The percentage of index stocks trading above a specific moving average (PAMA) is a breadth indicator that measures internal strength or weakness in the underlying index. The indicator is used on various time frames - e.g. the 10 or 20 day moving average for short time frame, The 50-day moving average for medium term timeframe, and the 150-day and 200-day moving averages for the long term timeframe.

PAMA indicators measure the degree of participation. Breadth is strong when the majority of stocks in an index are trading abovea specific moving average. Conversely, breadth is weak when the minority of stocks are trading above a specific movingaverage. They can be used in several ways:
-      Determine general market bias. A bullish bias is present when the indicator is above 50%. This means more than half the stocks in the index are above a particularmoving average. A bearish bias is present when below 50%. This works better on the longer time frames.
-      Determine oversold and overbought levels. The indicator varies between 0 to 100%, and one may look for reversal when at the extremes.
-      Look for Bullish and bearish divergences. A bullish divergence occurs when the underlying index moves to a new low and the indicator remains above its prior low. Conversely, a bearish divergence forms when the underlying index records a higher high and the indicator remains below its prior high. Such divergences can generate excellent signals, but are also prone to false signals and therefore it is advisable to look at large divergences over a meaningful time frame.

There are several similar Quantshare trading objects available. This specific one calculates percentage of Nasdaq 100 stocks trading above 10 day simple moving average. The SMA length and index constituents can of course be modified. It is intended mainly to show an example of calculating the PAMA over a specific index, not over all available stocks.
When measuring breadth it is important to understand what is the specific index used; it would be meaningful if all the constituents of the index represent a certain market. The general US stock market breadth can be evaluated using indices like Nasdaq100, all Nasdaq stocks, or S&P 500 . Using all NYSE stocks, or all stocks traded on US exchanges may bring questionable results. On the NYSE there are many stocks that are ETFs or closed end funds, many of which represent bonds. For breadth assessment this may create a different picture than using an index of operating companies only.

The composite is based on Nasdaq 100 constituents as of 1/21/2011 . For it to operate correctly make sure your database has symbols and quotes for all the index constituents. Current symbol list is Nasdaq 100 ; also Yahoo EOD historical quotes is the EOD downloader for this list that will add missing symbols.

The symbol associated with this composite is _PA10dSMA_Nasdaq100 .

Note that index constituents change from time to time, and the constituents list should be accordingly updated. Also bear in mind that strategy backtests based on the current list will not be accurate, as the constituents did change over time.

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Type: Composite Index

Object ID: 888

United States

Market: Stock Market


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