Every product needs a good name. Branding, you know. Hence, the Market Dissector™.

I wrote a good bit about these breadth indicators a while ago, and then stopped. Nothing like some real-time performance to bolster the confidence derived from some promising backtests. I will be dusting them off over the next few weeks, making some refinements, and again making them a regular feature on the blog.

Below is one of the indicators- a very simple short-term breadth measure of advancers and decliners. It buys when the decliners surpass the upper Bollinger Band and sells when the decliners fall beneath the lower Bollinger Band.

With a 70% win rate, it works great for timing the SPY. Used to trade the QQQQ, win rate is 65% and is 67.5% for IWM.

Since I coded it and started tracking the signals in March 2o10, it has netted 9.25% (with commissions) and maintained a win rate of 68.75%, with buys and sells at the close. Results improve if we delay our buys until the next open. Not bad for in-sample testing.

Here is what it looks like in action:

Green arrows are the buys; red arrows are the sells.

One element of these indicators that I want to emphasize is that they are generated with de-listed stock data. An advance/decline index that does not incorporate de-listed data may suffer from survivorship bias.

Look for the buy alerts from this indicator in the future.

If you want to incorporate delisted data into your backtests, I have found  Norgate PremiumData to have the best price and an outstanding service.