20 Day Breadth Thrust

Optuma Scripting
1

Hii

I want to create 20 day breadth thrust based on below article

"The “thrust” will be defined as readings moving from below the 20% mark to above the 80% mark within one month of trading. "

I created following script but its not showing what’s needed

v1 = GETDATA(CODE=NFTY500-A20MA.OB:BD);
v2 = v1 CrossesBelow 20;
v3 = v1 CrossesAbove 80;
v4 = TIMESINCESIGNAL(v2);
SIGNALAFTER(v2,v3) and v4 <= 20

Shall i change v2 to v1 crossesabove 20.

Regards,
Deepak

2

Can any one review this

3

Hi Deepak,

As far as I understand this issue I think your script is correct.

I have worked with the Optuma breadth data for the SPX (S&P 500 Breadth - Percent above 20 Day Moving Average, Code: SPX-A20MA).

The script:
v1 = GETDATA(CODE=SPX-A20MA.OB:BD);
v2 = v1 CrossesBelow 20;
v3 = v1 CrossesAbove 80;
v4 = TIMESINCESIGNAL(v2);
SIGNALAFTER(v2,v3) and v4 <= 20

The script is the same as yours and it did what it was supposed to.

I then checked the chart in the article you mentioned and found major differences.

Perhaps the author of the article used additional information for his system/testing.

So your problem is not the script, but the methodology of the system!

Best wishes,
Thomas

4

Thanks Thomas just change in v2 to crossesabove and see if it matches i think the reason may be it can go below 20 and stay there for long but author wants moving below 20 to above 80 in a month. But i dont know if it matches with results.

5

Hi Deepak,

It doesn’t matter whether you use

v2 = v1 CrossesBelow 20;

or

v2 = v1 CrossesAbove 20;

The result is always the same.

Here is the workbook.

test breadth.owb (13.4 KB)