- AD Volume Net%
AD Volume Net% equals advancing stock volume less declining stock volume divided by advancing stock volume plus declining stock volume. It expresses Net Advancing Volume as a percentage of the total volume. AD Volume Net% is calculated every trading day and this statistic forms the base for the Volume Breadth Rankings and indicators in the Volume Breadth Charts.
Here are two examples using the Nasdaq 100 ETF (QQQQ):
Volume of Advancing Stocks = 600,000
Volume Declining Stocks = 400,000
AD Volume Net% = (600,000 – 400,000) / (600,000 + 400,000)
or 200,000 /1000,000 or .20 or +20%
Volume of Advancing Stocks = 100,000
Volume of Declining Stocks = 900,000
AD Volume Net% = (100,000 – 900,000) / (100,000 + 900,000)
or -800,000 /1000,000 or -.80 or -80%
AD Volume Net% fluctuates between +100% and -100%. As the chart above illustrates, the data series moves from positive to negative quite often and needs to be smoothed for visual analysis.
By expressing AD Volume Net 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).
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- Volume Breadth Charts
The volume breadth charts show three indicators that are based on AD Volume Net%. Moving averages were used for the first two indicators to make visual analysis easier. These moving averages smooth the raw AD Volume Net% data and form natural momentum oscillators that fluctuate above and below zero. Signal lines were applied to make it easier to spot upturns and downturns in these indicators. 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 20-day moving average of AD Volume Net% and this represents four weeks or one month. As such, it is a short-term indicator that can be used to swing trade. A 20-day moving average was applied to the indicator to help identify upturns and downturns (magenta line).
The second indicator is a 60-day moving average of AD Volume Net% and this represents 12 weeks or about three months. As such, it is a medium-term indicator that can be used to position trade. A 20-day moving average was applied to the indicator to help identify upturns and downturns (magenta line).
The third indicator is the AD Line and this is a cumulative measure of AD Volume Net%. It does not act as an oscillator and is more inclined to trend. As such, it is better suited for long-term analysis. 50-day and 200-day moving averages have been applied and these can be used just like they would on a normal stock chart.
The Volume Breadth Charts combine all three indicators with the ETF chart for visual analysis. The 20-day SMA of AD Volume Net% (first indicator) is the fastest of the three indicators. It will peak or trough first and fluctuate more. The 60-day moving average of AD Volume Net% (second indicator) lags the 20-day moving average of AD Volume Net%. It will peak or trough afterwards and fluctuate less. The AD Line is the slowest and turns after the 20-day SMA and 60-day SMA have turned. Back to Top
- Volume Breadth Rankings
The data tables start with Volume Advance% and Volume Decline%. AD Volume Net% equals Volume Advance% less Volume Decline%. The next columns show the Average of AD Volume Net% 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 the 5-day SMA of AD Volume Net%:
Day 1 AD Volume Net% = +80%
Day 2 AD Volume Net% = -20%
Day 3 AD Volume Net% = +50%
Day 4 AD Volume Net% = +90%
Day 5 AD Volume Net% = -30%
5-day SMA = (80% - 20% + 50% + 90% - 30%)/5 = 170%/5 = +34%
The 1-day, 5-day and 10-day SMAs cover the short-term. The 20-day and 60-day SMAs cover 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 volume breadth over the past month (20-days). Sort by the 5-day SMA to find ETFs with the strongest or weakest volume breadth over the past week (5-days).
Each symbol is linked to an ETF chart with the 20-day moving SMA for AD Volume Net%, the 50-day moving SMA for AD Volume Net% and the AD Volume Line.
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