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What is the best way to measure divergence (against price) in Hi-Low figures for an ETF over time?

To discern whether an ETF is over-extended and near a correction I often consult several indicators for momentum. For breadth I normally use the Bullish-Percent indicator or look at percent of stocks above their 50 dma or 200 dma. I would also like to find a measure of divergence against price in the Hi-Low figures for the ETF over time.

In the Market Message Arthur Hill often highlights the high-low percentages for various ETFs (especially various sectors). But the display of these is in a bar graph form which does not seem to lend itself to comparison across time. I was wondering whether these percents can be displayed in a line graph so that one could see whether there is a divergence between the Hi-Low percent at the current swing top and what it was at the last swing top.

What is the best way to do this?
Thanks.

Best Answers

  • markdmarkd mod
    edited May 2015 Accepted Answer
    Hi BobS, I don't know the answer to your question, but if you are open to another indicator for the sector ETFs (XLE, XLB, etc.), I would recommend the recently added DecisionPoint indicators that track the per cent of stocks in the sector above their 20, 50 or 200 day MAs.

    So for the XLE for the 20 MA the indicator is !GT20XLE; for the 50 MA, !GT50XLE; for the 200MA, !GT200XLE.

    For each sector, substitute it's symbol for XLE, e.g. !GT20XLB for the Materials ETF.

    There is also a set of indicators for the SPY, but substitute "SPX" for the last 3 letters.

    At many tops, the !GT20xxx will diverge with price, making a lower high preceding a significant decline. The longer term indicators, 50 and 200, take longer to indicate divergence.

    You can display them all (I put one behind the other, and give them separate colors, like the Ks) or just the one for the time frame you are in.
  • KevoKevo
    Accepted Answer
    Hi, I can answer @BobS 's question. Hi @markd , the sector stocks/percent above MAs is a good breadth measurement for the sectors. However, I don't think they exist for the indexes. They might I cannot check at the moment since SCC is down. You likely could use the percent above 20 Daily MA for divergence purposes, but it's not the classic use of divergence.

    I bet the GT stands for greater than. The SCC versions of these breadth indicators are called "stocks above" and "percent above".

    The Hi-low you reference is the High-Low Percent. It is the net new highs breadth measurement (correct me if I am wrong). You can plot this as cumulative to see if it starts turning down. I do this. However, keep in mind that Net New Highs is a lagging indicator so it will take longer for new 52 week lows to show up. So, it is not best for divergence. You can add OB/OS and momentum indicators. I would use it for confirmation.

    The indexes have an Advance/Decline Percent line and some, but not all, have a Volume Advance/Decline Percent line. Plot these as cumulative and here is your answer for internal strength and classic divergence. I also have OB/OS and Momentum indicators on them. Just note that these breadth measurements are for the indexes not the ETFs, but the ETFs do a good job of tracking the indexes. So, it should be fine.
  • KevoKevo
    Accepted Answer
    @bobs left comment for you in activity section. Do you see the email too?

    Forgot NDX:

    404 $NDXA200 NDX 100 Stocks Above 200 DMA EOD - Daily SL
    406 $NDXA200R - NDX 100 Percent Stocks Above 200 DMA EOD - Daily SL
    408 $NDXA150 - NDX 100 Stocks Above 150 DMA EOD - Daily SL
    410 $NDXA150R - NDX 100 Percent Stocks Above 150 DMA EOD - Daily SL
    412 $NDXA50 - NDX 100 Stocks Above 50 DMA EOD - Daily SL
    414 $NDXA50R - NDX 100 Percent Stocks Above 50 DMA EOD - Daily SL
    416 $RHNDX - NDX 100 Record High Percent Index EOD - Daily SL
    418 $NDXHILO - NDX 100 High-Low Index EOD - Daily SL
    420 $NDXHLP - NDX 100 New Highs-New Lows Percent EOD - Daily Area
    450 $BPNDX - NDX 100 Bullish Percent Index - Daily SL
    456 $NDXADP - NDX 100 Advance Decline Percent EOD - Daily Cum
    458 $NDXUDP - NDX 100 Volume Advance Decline Percent EOD - Daily Cum
    498 $QIV - NDX 100 After Hours Indicator (AHI) - Daily CS
    499 $QMI - NDX 100 Pre-Market Indicator (PMI) - Daily CS

Answers

  • Thanks MarkD. I am definitely open to this idea. I am eager to try it out when the StockCharts site goes back online (likely tomorrow). Any idea what the GT stands for? Just curious for a memory aid. :smiley:
  • Thanks @Kevo for the suggestion that GT is Greater Than. I bet you are correct. Thanks also for the warning that H-L % is a lagging indicator and suggestion of using A/D % etc for the indexes.

    That along with @MarkD's suggestion of using !GT20xxx sound good. I will test them as soon as I get a chance.
  • KevoKevo
    edited May 2015
    I just remembered that many of the indexes do have percent above 20/50/200 Daily MAs indexes. These are SCC indexes, not DP.

    I am trying to remember if the sectors have A/D indexes? :/ SCC is still down.
  • Yes, the sectors do have A/D Percent indexes. Here are the symbols from two ChartsLists. These are all SCC indexes, not DP.

    Indexes:

    1104 $DOWA200 - Dow Jones Industrials Stocks Above 200 DMA EOD - Daily SL
    1106 $DOWA200R - Dow Jones Industrials Percent Stocks Above 200 DMA EOD - Daily SL
    1108 $DOWA150 - Dow Jones Industrials Stocks Above 150 DMA EOD - Daily SL
    1110 $DOWA150R - Dow Jones Industrials Percent Stocks Above 150 DMA EOD - Daily SL
    1112 $DOWA50 - Dow Jones Industrials Stocks Above 50 DMA EOD - Daily SL
    1114 $DOWA50R - Dow Jones Industrials Percent Stocks Above 50 DMA EOD - Daily SL
    1116 $RHDOW - Dow Jones Industrials Record High Percent Index EOD - Daily SL
    1118 $DOWHILO - Dow Jones Industrials High-Low Index EOD - Daily SL
    1120 $DOWHLP - Dow Jones Industrials New Highs-New Lows Percent EOD - Daily Area
    1150 $BPINDU - Dow Jones Industrials Bullish Pecent Index - Daily SL
    1156 $DOWADP - Dow Industrials Advance-Decline Percent EOD - Daily Cum
    1158 $DOWUDP - Dow Industrials Volume Advance-Decline Percent EOD - Daily Cum
    1220 $DJTHLP - Dow Jones Transports New Highs-New Lows Percent EOD - Daily Area
    1250 $BPTRAN - Dow Jones Transports Bullish Percent Index - Daily SL
    1256 $DJTADP - Dow Jones Transports Advance-Decline Percent EOD - Daily Cum
    1258 $DJTUDP - Dow Jones Transports Volume Advance-Decline Percent EOD - Daily Cum
    1320 $DJUHLP - Dow Jones Utilities New Highs-New Lows Percent EOD - Daily Area
    1356 $DJUADP - Dow Utilities Advance-Decline Percent EOD - Daily Cum
    1358 $DJUUDP - Dow Utilities Volume Advance-Decline Percent EOD - Daily Cum
    2120 $USHL - US New Highs-New Lows EOD - Daily Area
    2120 $USHL5 - US New Highs-New Lows (5 day total) EOD - Daily Area
    2220 $SUPHLP - S&P 1500 New Highs-New Lows Percent EOD - Daily Area
    2256 $SUPADP - S&P 1500 Advance-Decline Percent EOD - Daily Cum
    2258 $SUPUDP - S&P 1500 Volume Advance-Decline Percent EOD - Daily Cum
    3104 $SPXA200 - S&P 500 Stocks Above 200 DMA EOD - Daily SL
    3106 $SPXA200R - S&P 500 Percent Stocks Above 200 DMA EOD - Daily SL
    3108 $SPXA150 - S&P 500 Stocks Above 150 DMA EOD - Daily SL
    3110 $SPXA150R - S&P 500 Percent Stocks Above 150 DMA EOD - Daily SL
    3112 $SPXA50 - S&P 500 Stocks Above 50 DMA EOD - Daily SL
    3114 $SPXA50R - S&P 500 Percent Stocks Above 50 DMA EOD - Daily SL
    3116 $RHSPX - S&P 500 Record High Percent Index EOD - Daily SL
    3118 $SPXHILO - S&P 500 High-Low Index EOD - Daily SL
    3120 $SPXHLP - S&P 500 New High-New Lows Percent EOD - Daily Area
    3150 $BPSPX - S&P 500 Bullish Percent Index - Daily SL
    3156 $SPXADP - S&P 500 Advance-Decline Percent EOD - Daily Cum
    3158 $SPXUDP - S&P 500 Volume Advance-Decline Percent EOD - Daily Cum
    3220 $MIDHLP - S&P 400 MidCap New Highs-New Lows Percent EOD - Daily Area
    3256 $MIDADP - S&P 400 MidCap Advance-Decline Percent EOD - Daily Cum
    3258 $MIDUDP - S&P 400 MidCap Volume Advance-Decline Percent EOD - Daily Cum
    3420 $SMLHLP - S&P 600 SmallCap New Highs-New Lows Percent EOD - Daily Area
    3456 $SMLADP - S&P 600 SmallCap Advance-Decline Percent EOD - Daily Cum
    3458 $SMLUDP - S&P 600 SmallCap Volume Advance-Decline Percent EOD - Daily Cum
    4104 $OEXA200 - S&P 100 Stocks Above 200 DMA EOD - Daily SL
    4106 $OEXA200R - S&P 100 Percent Stocks Above 200 DMA EOD - Daily SL
    4108 $OEXA150 - S&P 100 Stocks Above 150 DMA EOD - Daily SL
    4110 $OEXA150R - OEX 100 Percent Stocks Above 150 DMA EOD - Daily SL
    4112 $OEXA50 - S&P 100 Stocks Above 50 DMA EOD - Daily SL
    4114 $OEXA50R - OEX 100 Percent Stocks Above 50 DMA EOD - Daily SL
    4116 $RHOEX - OEX 100 Record High Percent EOD - Daily SL
    4118 $OEXHILO - S&P 100 High-Low Index EOD - Daily SL
    4150 $BPOEX - OEX 100 Bullish Percent Index - Daily SL


    Miners and sectors:

    1420 $GDXHLP - Gold Miners New Highs-New Lows Percent EOD - Daily Area
    1450 $BPGDM - Gold Miners Bullish Percent Index - Daily SL
    1456 $GDXADP - Gold Miners Advance-Decline Percent EOD - Daily Cum
    1458 $GDXUDP - Gold Miners Volume Advance-Decline Percent EOD - Daily Cum
    5020 $XLKHLP - Technology New Highs-New Lows Percent EOD - Daily Area
    5050 $BPINFO - S&P Technology Sector Bullish Percent Index - Daily SL
    5056 $XLKADP - Technology Advance-Decline Percent EOD - Daily Cum
    5058 $XLKUDP - Technology SPDR Volume Advance-Decline Percent EOD - Daily Cum
    5120 $XLYHLP - ConsDisc New Highs-New Lows Percent EOD - Daily Area
    5150 $BPDISC - S&P ConsDisc Bullish Percent Index - Daily SL
    5156 $XLYADP - ConsDisc Advance-Decline Percent EOD - Daily Cum
    5158 $XLYUDP - ConsDisc SPDR Volume Advance-Decline Percent EOD - Daily Cum
    5220 $XLIHLP - Industrials New Highs-New Lows Percent EOD - Daily Area
    5250 $BPINDY - S&P Industrials Bullish Percent Index - Daily SL
    5256 $XLIADP - Industrials Advance-Decline Percent EOD - Daily Cum
    5258 $XLIUDP - Industrials SPDR Volume Advance-Decline Percent EOD - Daily Cum
    5320 $XLBHLP - Materials New Highs-New Lows Percent EOD - Daily Area
    5350 $BPMATE - S&P Materials Bullish Percent Index - Daily SL
    5356 $XLBADP - Materials Advance-Decline Percent EOD - Daily Cum
    5358 $XLBUDP - Materials SPDR Volume Advance-Decline Percent EOD - Daily Cum
    5420 $XLEHLP - Energy New Highs-New Lows Percent EOD - Daily Area
    5450 $BPENER - S&P Energy Bullish Percent Index - Daily SL
    5456 $XLEADP - Energy Advance-Decline Percent EOD - Daily Cum
    5458 $XLEUDP - Energy SPDR Volume Advance-Decline Percent EOD - Daily Cum
    5520 $XLPHLP - ConsStap New Highs-New Lows Percent EOD - Daily Area
    5550 $BPSTAP - S&P ConsStap Bullish Percent Index - Daily SL
    5556 $XLPADP - S&P ConsStap Advance-Decline Percent EOD - Daily Cum
    5558 $XLPUDP - ConsStap SPDR Volume Advance-Decline Percent EOD - Daily Cum
    5620 $XLVHLP - Health Care New Highs-New Lows Percent EOD - Daily Area
    5650 $BPHEAL - Health Care Bullish Percent Index - Daily SL
    5656 $XLVADP - Health Care Advance-Decline Percent EOD - Daily Cum
    5658 $XLVUDP - Health Care SPDR Volume Advance-Decline Percent EOD - Daily Cum
    5720 $XLUHLP - Utilities New Highs-New Lows Percent EOD - Daily Area
    5750 $BPUTIL - S&P Utilities Bullish Percent Index - Daily SL
    5756 $XLUADP - Utilities Advance-Decline Percent EOD - Daily Cum
    5758 $XLUUDP - Utilities SPDR Volume Advance-Decline Percent EOD - Daily Cum
    5820 $XTLHLP - Telecom New Highs-New Lows Percent EOD - Daily Area
    5850 $BPTELE - S&P Telecom Services Bullish Percent Index - Daily SL
    5856 $XTLADP - Telecom Advance-Decline Percent EOD - Daily Cum
    5858 $XTLUDP - Telecom SPDR Volume Advance-Decline Percent EOD - Daily Cum
    5920 $XLFHLP - Financials New Highs-New Lows Percent EOD - Daily Area
    5950 $BPFINA - S&P Financial Bullish Percent Index - Daily SL
    5956 $XLFADP - Financial Advance-Decline Percent EOD - Daily Cum
    5958 $XLFUDP - Financial SPDR Volume Advance-Decline Percent EOD - Daily Cum
  • Hi Kevo. Wow, you pulled out a lot of indicators. After testing, I think I like the $xxxudp for breadth. Thanks.
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