ETF:  
     Home   |   Contact Us   |   About   |   [ Sign In ]

 Commentary
ETF Newsletter
Technical Talk
ETF Basics
Q & A
 
 ETF Rankings
Price Breadth
Volume Breadth
High-Low Breadth
McClellan Breadth
McClellan Volume
 
 ETF Charts
by Category
by Family
Most Active

ETF Investment Outlook RSS feed
Subscribe to ETF Investment Outlook at My Yahoo!
Subscribe to ETF Investment Outlook at Google
Subscribe to ETF Investment Outlook at Bloglines
Add  ETF Investment Outlook to Newsgator

High-Low Breadth - Net New Highs% FAQ


Net New Highs%

Net New Highs% equals new 52-week highs less new 52-week lows divided by the total number of stocks in the ETF. It expresses Net New Highs as a percentage of the total. Net New Highs% is calculated every trading day and this statistic forms the base for the High-Low Breadth Rankings and indicators in the High-Low Breadth Charts.

Here are two examples using the Nasdaq 100 ETF (QQQQ):

New 52-week Highs = 15
New 52-week Lows = 5
Net New Highs% = (15 – 5) / (100) or 10/100 or .10 or +10%

New 52-week Highs = 2
New 52-week Lows = 22
Net New Highs% = (2 – 22) / (100) or -20/100 or -.20 or -20%

Technically, Net New Highs% fluctuates between +100% and -100%. However, Net New Highs rarely reaches its extremities and is less volatile that AD Volume Net% or AD Net%. Net New Highs also crosses the zero line less that AD Volume Net% and AD Net%. As such, it is less volatile and requires less smoothing.

By expressing Net New Highs% as a percentage, we can compare the results across a wide array of ETFs. This is especially helpful when comparing breadth among broad market ETFs (QQQQ, DIA, IWM and SPY), sector ETFs (XLB, XLI, XLK, XLE) and industry group ETFs (SMH, SWH, OIH, RTH and XBI). Back to Top

High-Low Breadth Charts

The High-Low Breadth Charts show three indicators that are based on Net New Highs%. Moving averages were used for the first two indicators to make visual analysis easier. These moving averages smooth the raw Net New Highs% data and form natural momentum oscillators that fluctuate above and below zero. A signal line was applied to make two indicators to make it easier to spot upturns and downturns. This is similar to the MACD indicator, which uses a 9-day exponential moving average as a signal line to identify upturns and downturns. Like MACD and other momentum oscillators, buy/sell signals can be based on overbought/oversold readings, positive/negative divergences or crosses above/below the zero line.

The first indicator is a 10-day exponential moving average of Net New Highs% and this represents two weeks. Because Net New Highs% fluctuates less than AD Net% or AD Volume Net%, a shorter moving average and an exponential moving average were used. Despite the 10-day timeframe, this indicator is suited for medium-term analysis and position trading.

The second indicator is a 60-day exponential moving average of Net New Highs% and this represents 12 weeks or about three months. A 20-day moving average was applied to the indicator to help identify upturns and downturns (magenta line).

The third indicator is the Cumulative Net New Highs Line and this is a cumulative measure of Net New Highs%. It does not act as an oscillator and is more inclined to trend. As such, it is better suited for long-term analysis. 20-day and 50-day moving averages have been applied and these can be used just like they would on a normal stock chart. The line is moving up when above the moving averages and down when below the moving averages.

The High-Low Breadth Charts combine all three indicators with the ETF chart for visual analysis. The 10-day EMA of Net New Highs% (first indicator) is the fastest of the three indicators. It will peak or trough first and fluctuate more. The 60-day EMA of Net New Highs% (second indicator) lags the 10-day EMA of Net New Highs%. It will peak or trough afterwards and fluctuate less. The Cumulative Net New Highs Line is the slowest and turns after the 10-day EMA and 60-day EMA have turned. Back to Top

High-Low Breadth Rankings

The data tables start with New Highs% and New Lows%. Net New Highs% equals New Highs% less New Lows%. The next columns show the Simple Moving Average (SMA) of Net New Highs% over a various timeframes.

5-day SMA = one week
10-day SMA= two weeks
20-day SMA= one month
60-day SMA= one quarter
120-day SMA= a half year
250-day SMA= one year

Here is a calculation example for 5-day SMA of Net New Highs%:

Day 1 Net New Highs% = +10%
Day 2 Net New Highs% = +12%
Day 3 Net New Highs% = +14%
Day 4 Net New Highs% = +10%
Day 5 Net New Highs% = +10%

5-day SMA = (10% + 12% + 14% + 10% + 10%)/5 = +56%/5 = +11.2%

The 1-day, 5-day, 10-day and 20-day SMAs cover the short-term. The 60-day SMAs covers the medium-term. The 120-day and 250-day SMAs cover the long-term.

The columns can be sorted by clicking the column heading (1-day, 5-day SMA, 10-day SMA etc…). Sort by the 20-day SMA to find ETFs with the strongest or weakest breadth over the past month (20-days). Sort by the 5-day SMA to find ETFs with the strongest or weakest breadth over the past week (5-days).

Each symbol is linked to an ETF chart with the 10-day EMA for Net New Highs%, the 60-day EMA for Net New Highs% and the Cumulative Net New Highs Line. Users can hover over the symbol and the price breadth chart will appear.

Back to Top

    Copyright © 2006 TD Trader. All Rights Reserved. (0.028) | Link Partners Legal | Privacy