NYSE Advance Decline Statistical Oscillator

This oscillator was created in the same manner as our Tick Indicator/Oscillator. Statistics were applied to the extreme daily highs of the NYSE's internal statistics. For details on its construction please read the following link: NYSE TICK

Also compare these technical indicators to the up/down ocsillator.

In summary a series of steps were followed to created this oscillator:

1. Compute the quarterly (61 day) simple moving average of the daily high for the advancing and declining issues.

2. For each moving average computed, compute the standard deviation for each period.

3. Compute the daily statistical z-score.

4. Compute a monthly (21 day) sum of the previous z-scores.

5. Compute the difference between the advancing issues and declining issues monthly z-scores.

The results of steps 1 through 4 are shown in the graph below. These two plots of the Advancing and Declining issues indicators is condensed into one oscillator.

Below is the Advance/Decline Oscillator along with its 8 day simple moving average. The horizontal red line shows the sell zone and the green horizontal line shows the buy zone. These zones mark intermediate trend changes which typically last longer than one month.

created 10/3/03. ©2003, The Small Investors Software Co. All rights reserved.