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The Five Day Advance Decline Thrust Model at Trader’s Narrative




The Five Day Advance Decline Thrust Model


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This is a guest post by Wayne Whaley, CTA:

There are many different variation of thrust models. Some are based on price, some on volume, and many on breadth. Thrust is a way of measuring how much testosterone a market’s rally exhibits. One of my favorites is the Five Day Breadth Thrust Model defined as:

  • Thrust = Sumadv/(Sumadv+Sumdec)
  • Where Sumadv = Sum of Advances over the last 5 days,
  • And Sumdec = Sum of Declines over the last 5 days

My statistics were run on “nasty” NYSE data beginning in 1970, through Feb 02, 2010. Nasty meaning full of non-operating company related issues such as ADRs, ETFs, CEFs, etc. Below is the results of all observances over 73.5 since 1970, with 10 day repeats eliminated:

5 day adv dec thrust model data table

Most trading years have 251-253 trading days depending on how holidays fall. The green shaded instances are still in progress and have yet to complete.

The results have some relevance to today’s market simply because if the perfect record of predicting up markets one year in advance over the last 40 years is to stay intact, the S&P500 must close on Sept 10th 2010 above 1044.14. We closed at 1,075.51 on Friday, February 12th, 2010. Will the indicator hold up? I can not say for certain. But let’s keep an eye on this indicator and see how it plays out.

Requiring the Thrust to Originate from Oversold Condition
Taking a cue from some of Dr. Martin Zweig’s concept’s on reverse thrust, I repeated the study and required that the 73.5 reading must be preceded by a reading of less than 40 in the previous 15 trading days. This derivation improved the results slightly for the 3 and 6 month time spans, but has the drawback that it eliminated 3 successful 12 month longs.

5 day adv dec thrust model data table from oversold

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One Response to “The Five Day Advance Decline Thrust Model”  

  1. 1 Babak

    Deprecated: preg_replace(): The /e modifier is deprecated, use preg_replace_callback instead in /home/traders/public_html/wp-includes/functions-formatting.php on line 76

    oops - sorry guys, I made a mistake (the mention of Sept 2010). Not Wayne’s fault. Fixed it now. You can stop bombarding me with emails about it! lol

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