Nov 5, 2023 2:35 PMThere is a breadth measure called the Zweig...

Nov 5, 2023 2:35 PM

There is a breadth measure called the Zweig Thrust, defined as follows.

This looks at a 10-day exponential moving average of advancing stocks divided by the sum of advancing plus declining stocks for the NYSE. If the value goes from under 0.40 to above 0.615 within a 10-day time period, then a signal is generated and the indicator value is set to +1. Otherwise, the indicator value is set to 0.

By my computations, this signaled on 11/3. Here are all the occasions I find since 1949, showing results over the following year using SPX daily closes. The number after the date is the number of days in the interval from under 0.40 to over 0.615.

Date, Interval Days, Max DD, Days to Max DD, Result at 1 year

========================================

1949-03-08 10 -9.00 % 78 17.13 %

1950-07-21 7 -2.05 % 2 30.02 %

1962-07-11 10 -7.34 % 73 21.06 %

1962-11-05 7 -0.05 % 2 25.88 %

1971-12-03 7 -0.57 % 1 20.20 %

1974-10-10 8 -6.85 % 40 26.01 %

1975-01-03 8 -0.95 % 3 27.55 %

1982-08-20 8 0.00 % 0 46.25 %

1984-08-03 9 -0.42 % 46 18.33 %

2009-03-18 8 -3.25 % 2 46.81 %

2011-10-14 10 -5.38 % 29 16.66 %

2013-10-18 9 -0.15 % 72 8.15 %

2015-10-08 9 -9.16 % 86 7.32 %

2019-01-07 8 0.00 % 0 27.32 %

2023-11-03 6 ?? ?? ??

avg. trade = 24.19 %

avg. max draw down = -3.23 %

14 wins, avg. gain = 24.19 %

0 losses.

Not my work and I apologise for getting off topic.