Monday’s Breadth Report
3 of 4 measures are overbought, with 1 measure giving a new buy signal.
The raw advancers/decliners measure (2nd pane from the bottom) is giving a buy signal. The universe that generated the advancers and decliners are stocks trading over 100K volume and over $1,000,000 in liquidity on average over the last 50 days (3,245 stocks, from “Universe”, fourth pane from the bottom).
This signal is generated when the decliners exceed the upper (purple) Bollinger Band. The trade is closed when the decliners close beneath the lower Bollinger Band. The thinking behind this (nothing Earth-shattering) is that when decliners rise high enough fast enough, it must be time for advancers to take over again.
Buying the open and selling the close, with no commissions and using all data available yields the following stats on the SPY and QQQQ (it also does well on IWM):
————SPYÂ Â Â Â Â Â Â Â QQQQ
CAGR:Â Â Â Â Â 11.28%Â Â Â 15.39%
Win%:Â Â Â Â Â Â 67.95%Â Â 65.35%
PF:Â Â Â Â Â Â Â Â Â Â Â Â 1.54Â Â Â Â Â Â Â Â Â 1.54
Sharpe:Â Â Â 1.23Â Â Â Â Â Â Â Â Â 1.05
MaxDD: -26.60%Â Â -36.44%
Trades:Â Â Â 443Â Â Â Â Â Â Â Â Â Â 303
These trades last 1 week on average.
Remember that these setups are based on breadth only, and not on price action. I will detail the other measures in the near future, and then put together a brief summary for each measure for quick reference.
What is the average trade % ?
Thanks
eb
.45% for the SPY.
.61% for the QQQQ.