NYSE Volume Statistical Oscillator

This oscillator was created in the same manner as our Tick Indicator/Oscillator. Statistics were applied to the closing volumes 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 advance/decline 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 closing up and down volume.

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 up and down volume monthly z-scores.

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

Below is the Up/Down 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.