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Zweig Breadth Thrust Triggered Today on the S&P 500


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#21 Rogerdodger

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Posted 30 March 2011 - 11:36 PM

Here's something I found tonight:
"No time for putting up a chart so…
Look at your 60min charts of $SPX and note that the RSI 14 climbed to 74 and then closed at 70. Usually you can expect a consolidation day following a day when this happens.
Zweig Breadth Thrust closed at 60.19, with 60 being the level that marks huge overboughtness.
On 9/3/10 ZBT rose to 61.13. The next session, which was Tuesday September 7th, the day after the Labor Day holiday, the $NYA closed down almost 100pts.
On 9/13/10 ZBT rose to 63.32, after closing the previous Friday at 60.11. This threw the markets into a consolidation period that lasted the rest of that week.
On 9/20/10 ZBT closed at 61.09. Over the next three sessions, the $NYA would lose 120pts on a closing basis.
On 10/13/10 ZBT closed at 60.71. This led to a consolidation which took the $NYA down, on a closing basis, about 160pts.
On 11/4/10 ZBT closed at 62.26. This was the day after the Fed announced QE2 and was also something like a 95% up day. This led to the November pull back.

$NAMO is within a hare’s breath of tagging its upper BB and if those BB’s weren’t expanding so fast $NAMO would have pierced its upper BB easily today. But it didn’t and close may not count.
None of the other breadth indicators that I follow are giving extreme overbought readings. $NYADV is close, but…

Tomorrow is the last day of the month and the last day of the quarter. What to you think all the MM’s have in mind for the market? $SPX is now up 1.04pts and 0.08% for the month. Do you think the Big Boys are going to allow the month to end in the negative?

And the Q’s are only down about 40 centavos for the month. But make no mistake, with AAPL getting sold off with every pop higher, it’s not going to be easy to push the Q’s positive for March, but don’t put it past them.

Your homework assignment is to find a monthly chart of the $RUT/IWM and zero in on the RSI 14.
GL"

http://signalgenerator.wordpress.com/

Edited by Rogerdodger, 30 March 2011 - 11:39 PM.


#22 K Wave

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Posted 30 March 2011 - 11:55 PM

FWIW... I just ran the indicator using Tradestation A/D data (which goes back to 1965, and may differ from other providers), using the parameters from the RD's link of 40 for oversold and 61.5 for overbought. Here are my observations based upon the signals generated on these dates (and there aint many): 12/3/71 10/10/74 1/3/75 8/20/82 8/3/84 3/18/09 ALL of these signals came after long multi-month declines, NOT after a 24 month rocket launch rally. And according to the Tradestation data, we did not get a signal today, although we did get close darn close at 59.25. And there is no way one can be generated tomorrow as the 10 day period since oversold has come and gone....

#23 viccarter

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Posted 31 March 2011 - 12:00 AM

Speaking of Marty's Breadth Thrust, I found this site interesting.
It shows a similar thrust occurring in March 2009.
Buying UWM the next day would have produced a gain of over 214% in 542 days as of today's close!!!

http://sites.google....ndicator-update



Yes its a good site. He gives away the EL for ZBT Tradestation Indicator if you use that software. It's where I got mine.

#24 IndexTrader

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Posted 31 March 2011 - 12:11 AM

Thanks for the post Aly. IT

#25 Gary Smith

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Posted 31 March 2011 - 12:14 AM

[quote name='K Wave' date='Mar 30 2011, 11:55 PM' post='570250']
FWIW...

I just ran the indicator using Tradestation A/D data (which goes back to 1965, and may differ from other providers), using the parameters from the RD's link of 40 for oversold and 61.5 for overbought.

Here are my observations based upon the signals generated on these dates (and there aint many):

12/3/71
10/10/74
1/3/75
8/20/82
8/3/84
3/18/09

ALL of these signals came after long multi-month declines, NOT after a 24 month rocket launch rally.


>>>>>I've always found Zweig's two momentum indicators worked best coming out of bear markets, albeit his double 9 to 1 indicator has given several spot-on signals after reactions in this current bull since 09. As an aside, the dates he shows in his book updated in the mid 90s don't match up well with the dates you show above. For example, since 1965 he lists 1/16/67, 12/4/70, 1/10/75, 1/6/76, 8/23/82, 1/23/85, 1/14/87, and 2/5/91. These dates also match up with the table and dates from the research by Colby and Meyers. Zweig never used any lingo about percentages like 40%, 61% etc. just whenever the 10 day moving average of advances over declines is greater than 2 to 1. I am beginning to wonder if Zweig's advance/decline indicator has not only morphed into a different name but some researcher over the years has tweaked the original rules.<<<<<<<<

Edited by Gary Smith, 31 March 2011 - 12:16 AM.


#26 inamosa

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Posted 31 March 2011 - 12:18 AM

3. You have made several nasty comments about various individual posters specifically and about the low quality of posts in general as of late. If you are a big trend player then post up like Atilla does with bigger macro-trend calls, back it up with sound charts/analysis, don't flip-flop, take it for 50-100 handles consistently and publicly, and I will give you props.


Vic,

I don't think my comments have been nasty. I have been attempting to call out people who have started threads and have practically made it obvious that they are purposely trying to waste people's time - and I've been careful not to use slander or abusive language. There was an excellent example of the crap that is posted on a regular basis today coming from a poster named "WaveTimer," who posted five ridiculous threads of nonsense within a short period of time and had the gall to also capitalize each letter in the titles of his threads. I'm not here to criticize the administrators or anything like that but am simply pointing out that there is indeed a lot of crap posted every day.

Once upon a time this forum had more quality posts. Yes, there was still crap, but a lot less and it was covered up by the useful charts and analysis that made a much more frequent appearance (I rarely see a chart posted here anymore, with posters like you being the exception rather than the norm). Many of the good posters of old rarely post anymore (IYB, denleo, IndexTrader, eminimee, Echo, SilentOne, Darris, mss, Gary Smith, etc.) - certainly nowhere near as much as they once did, and I think I can see why. I'm actually shocked a guy like NAV still posts and shares as often as he does. If he stopped posting, who knows...the whole board might even come to a halt. He is one of the few people left who regularly posts good quality stuff on a regular basis.

But, hey, this is solely my opinion. Feel free to disagree.

As for calls, sorry. I'm not here to impress anyone. I focus on my own trading and am not concerned with being praised on an online message board. Any praise I get comes from if my trading account is going up in value. That's enough for me. Besides, as far as I'm concerned, most people here should be discussing how they fish and how to fish better rather than discussing what they're fishing and when.

Personally, I will continue to try to limit my posting at TT. I know in my heart that it is best I conserve my energy and time for better things.
"Our job is not to predict where the market will go, but to interpret daily price and volume action to ascertain the facts of the current environment and make decisions based on that interpretation."
-Scott O'Neil (son of William O'Neil), Portfolio Manager at O’Neil Data Systems, when asked where the Dow would go in the coming months

#27 inamosa

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Posted 31 March 2011 - 12:34 AM

Zweig never used any lingo about percentages like 40%, 61% etc. just whenever the 10 day moving average of advances over declines is greater than 2 to 1.


Gary, just for you: the 10-day A/D average as at today's close on the S&P 500 is 2.13:1.

But, the definition at the top of this thread is one that I confirmed with a former SVP at Lowry's Research.

And, for what it's worth, I've developed my own criteria for a custom breadth thrust similar to that of Zweig, that is somewhat stricter than Zweig's and boasts stronger and more consistent performance 3-, 6-, and 12-months out. Today the criteria for this custom breadth thrust was met - just as it was met in mid-July and mid-September of last year.

Edited by alysomji, 31 March 2011 - 12:36 AM.

"Our job is not to predict where the market will go, but to interpret daily price and volume action to ascertain the facts of the current environment and make decisions based on that interpretation."
-Scott O'Neil (son of William O'Neil), Portfolio Manager at O’Neil Data Systems, when asked where the Dow would go in the coming months

#28 Gary Smith

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Posted 31 March 2011 - 12:42 AM

Zweig never used any lingo about percentages like 40%, 61% etc. just whenever the 10 day moving average of advances over declines is greater than 2 to 1.


Gary, just for you: the 10-day A/D average as at today's close on the S&P 500 is 2.13:1.

But, the definition at the top of this thread is one that I confirmed with a former SVP at Lowry's Research.

And, for what it's worth, I've developed my own criteria for a custom breadth thrust similar to that of Zweig, that is somewhat stricter than Zweig's and boasts stronger and more consistent performance 3-, 6-, and 12-months out. Today the criteria for this custom breadth thrust was met - just as it was met in mid-July and mid-September of last year.



Thanks Aly, appreciate it. Yours is the kind of research I enjoy - simple, understandable and succinct - and you never waver back and forth. It's off to bed for me now as this thread has kept me up way past my bed time.

Edited by Gary Smith, 31 March 2011 - 12:43 AM.


#29 Echo

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Posted 31 March 2011 - 12:44 AM

Aly, Thanks for starting a great thread. We are roughly 36-38wks from a major 4.5 and 9 year Hurst cycle low so it will be interesting how much of a gain we will see 9 months out. I'm more confident for gains for the first 3 months, maybe 6 months. Doc

#30 K Wave

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Posted 31 March 2011 - 01:22 AM

FWIW...

I just ran the indicator using Tradestation A/D data (which goes back to 1965, and may differ from other providers), using the parameters from the RD's link of 40 for oversold and 61.5 for overbought.

Here are my observations based upon the signals generated on these dates (and there aint many):

12/3/71
10/10/74
1/3/75
8/20/82
8/3/84
3/18/09

ALL of these signals came after long multi-month declines, NOT after a 24 month rocket launch rally.



>>>>>I've always found Zweig's two momentum indicators worked best coming out of bear markets, albeit his double 9 to 1 indicator has given several spot-on signals after reactions in this current bull since 09. As an aside, the dates he shows in his book updated in the mid 90s don't match up well with the dates you show above. For example, since 1965 he lists 1/16/67, 12/4/70, 1/10/75, 1/6/76, 8/23/82, 1/23/85, 1/14/87, and 2/5/91. These dates also match up with the table and dates from the research by Colby and Meyers. Zweig never used any lingo about percentages like 40%, 61% etc. just whenever the 10 day moving average of advances over declines is greater than 2 to 1. I am beginning to wonder if Zweig's advance/decline indicator has not only morphed into a different name but some researcher over the years has tweaked the original rules.<<<<<<<<



1/16/67...not oversold enough at start of move to qualify for "ZBT" thrust per "morphed" indicator. Also came after ABC type correction wave after initial thrust off bottom after huge decline.

12/4/70...not oversold enough at start of move to qualify for "ZBT" thrust per "morphed" indicator. Came after breach of right shoulder of H&S setup on daily chart, which can often lead to fast powerful moves. In this case, it ran for over 5 months nearly straight up. Again, the signal came within less than 6 months of a major slide bottom.

1/10/75...the thrust "peaked" on 1/10, but the signal flashed on 1/3, according to "morphed" indicator. Right after a huge multi-month double bottom, after a monster decline.

1/6/76...again that was the peak thrust day, after a huge breakout the day before from a multi-month flag pattern about a year after the big low. That thrust led to the final highs of the bull run in the middle of the 66-82 secular bear. That move reminds me much more of the move starting last September, when we broke over the August swing high, and the action now reminds me more of the big thrusts we saw in mid to late 76 near the top when the Dow couldn't really make any new highs on each thrust, and the SPX made marginal new highs.

8/23/82...the mother of all thrusts..ZBT starting coming off the low a few days before the turn, so signal generated a few days before on 8/20. Again after long drawn out decline.

1/23/85...not any where near oversold 10 days before. Move started from neutral line. Came after 5 month long flag breakout. One of the weaker thrust signals...only made a few more percent before another long sideways flag.

1/14/87...just missed ZBT oversold level at end of final pennant after about 9 month consolidation, and then huge breakout to start off the year. Didn't need any A/D stuff to see that one, but it did confirm nicely.

2/5/91...Again, shortly after a major decline. The ZBT again just missed getting oversold enough in early January, but the huge gap up on the invasion on Jan 17th, was the tipoff to "buy death", and if you missed that one, the breach of the December highs on the 24th was your next big clue. ZBT finally exceeded 61.5 on the 31st.



In any event, after reviewing all those signals, today's signal or non-signal depending on your data and interpretation "feels" more like near the top in '76 than any of the other occurrences, as we are 1) nowhere near a major bottom after an extended decline, or 2) we do not have a long flag built.

Time will tell....