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I’m having difficulty formulating a New High New Low Index for US equities using the Market Breadth Module. I’ve formulated the following:
1 day New High New Low Index using the following script
H1 = HIGH() > HIGHESTHIGH(BACKTYPE=DAYS, BARS=1);
L1 = LOW() < LOWESTLOW(BACKTYPE=DAYS, BARS=1);
5 day New High New Low Index using the following script
H1=HIGH() > HIGHESTHIGH(BACKTYPE=DAYS, BARS=5);
L1=LOW() < LOWESTLOW(BACKTYPE=DAYS, BARS=5);
However, I’m getting exactly the same index when I formulate them. In addition, it doesn’t look right, too quick to revert to above and below zero.
Other settings I’m using: Date range – last year; Data Timeframe – 1 day; Breadth action – Sum.
Could you please advise where I am going wrong.
I’ve done some testing here using the scripts you provided and the settings you listed in the breadth module. The final results are quite different on my system here, they are not showing identical results the way you are describing.
Here are the two test codes using your scripts overlaid on top of each other:
It maybe worth deleting the codes you’ve created and rebuild them. If the issue remains once that’s done please send a copy of both breadth files to support for review. They can be found here:
Documents – Optuma – Local – Breadth
I did what you suggested and it worked a treat!
Thanks very much for your time and efforts!
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