Custom Breadth – % outperforming

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    DarrenDarren
    • Topics: 55
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    Clients with the custom Market Breadth module can create the following measure to calculate the percentage of stocks that are outperforming the index on any given day. If a market-cap weighted index (eg SPX) is up but the % of outperformers is low then the gains are being driven by the larger cap companies. Conversely, if the market is down and the majority are outperforming then the large caps are dominating to the downside.

    [See this Tweet]

    To create this measure use the RIC() function to create the relative strength, and if that value is higher than the previous day then it outperformed the index on that day, so by using RIC() IsUp and setting the Breadth Action to Percent in the market breadth module it will calculate the daily percentage values.

    Note: if using the S&P500 symbol list you can select the Historical Membership to avoid survivorship bias and add the IsMember() condition to the calculation.

    Here’s the SPX breadth displayed as a histogram below the price chart, highlighted where less than a third have outperformed on an up day (green), and where more than two-thirds have out-performed on a down day (red). Usually this is a rare occurrence, but it’s happened 6 times since the March lows:

    Capture

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