CMT-Indicators.pdf

Last Updated: 8:39 12/1/2020 EST NOTE: ALL candidates should know indicators from previous levels Level Name Group Description 2 Advance Decline Index Breadth Uses the AD value and accumulates it like OBV...

Last Updated: 8:39 12/1/2020 EST NOTE: ALL candidates should know indicators from previous levels Level Name Group Description 2 Advance Decline Index Breadth Uses the AD value and accumulates it like OBV 1 Advance -Declines Breadth Most simple breadth measure. # of Advancers LESS # of Decliners Ratio of 2 Ratios. Ratio of stocks advancing and declining & a ratio of 1 Arms Index Breadth volume of advancing volume to declining volume. See calculation Slide 11, Breadth Considers the net advancing stocks compared to the number of 2 Bolton-Tremblay Breadth stocks that were unchanged. See calculation Slide 7, Breadth A thrust is when there is a deviation from the normal values that is 1 Breadth Thrust Breadth large enough to be seen. Calculate ratio of Advancers to Advance + Decline. Smooth with a 10-period SMA Uses a MACD type expression to further smooth. See calculation 1 McClellan Oscillator Breadth Slide 9, Breadth 1 New Highs & Lows Breadth Price Based Sentiment Indicator. See calculation Slide 13, Breadth Only considers Advances as a percentage of the total number of 2 Shultz Breadth stocks. See calculation Slide 8, Shultz Smooths volume by using the avtivity of past N-days. See calculation 2 Sibbett's Demand Index Breadth Slide 6, Breadth Considers the net of advancing and declining stocks as well as their 2 Thrust Oscillator Breadth volume. See calculation Slide 12, Breadth 0-1 is the limit of the downside range when stocks are declining. 2 Upside/Downside Ratio Breadth Upside is not bounded when stocks are advancing. UDR = Advancing Volume / Declining Volume Takes the unique view of substituting volume for time on the x-axis. 2 Equivolume - Richard Arms' Chart Bars with more volume are wider. 2 Periodogram Cycles Use Sine and Cosine to break up all cycles into their components 1 Short Interest Fundamental Represents the number of shares being held short  Number of outstanding futures contracts that need to be traded 1 Open Interest Indicator before contract expiry. Unique to futures markets 1 Fibonacci Retracements Measuring Watch retracement levels for signs of reversal Ht = Pl + (WxR). Ht = Upside Target. Pl = Lowest Box Price. W = Width 1 Horizontal Target (P&F) Measuring of Formation. R = Reversal Value 1 Pivot Points Measuring Calculated by comparing current bar to previous high & low 1 Retracements Measuring Drawn lines from the start through the end of Fibonacci Retracement 1 Speed Lines Measuring Levels Vt = Pl + (FRxRC). Vt = Vertical Target. Pl = Lowest Box Price. FR = Size 1 Vertical Target (P&F) Measuring of First Reversal (Box Count x Box Size). RC = Reversal Count Accumulation/Distribution. Buying Power is Open to High. Selling 2 A/D Oscillator Oscillator Power is Close to Low. Uses direction to separate volume into Buying Pressure and Selling 2 Aspray's Demand Oscillator Oscillator Pressure Looks for relationships within the same dataset by increasing the 1 AutoCorrelation Oscillator lookback interval and doing a correlation on a linear regression DX is the absolute difference between the DMI+ & DMI-. ADX is the 1 Average Directional Index (ADX) Oscillator moving average of the DX values. Measures the strength of the trend while DMI's show direction Distance between the high and low band is a good indicator of 1 Bollinger Bandwidth Indicator Oscillator volatility Chaikin Accumulation Uses a concept of buying pressure and selling pressure. CAD 1 Oscillator Distribution = Volume x ([close - low] - [high - close]) / (high - low) Uses the Chaikin Accumulation Distribution value and divides it by the 1 Chaikin Money Flow Oscillator total volume to create a ratio. CMF = (Sum of Chaikin A/D) / (Sum of Total Volume) Takes the Chaikin AD and applies a 3-day EMA and a 10-day EMA. 1 Chaikin Oscillator Oscillator Also includes Bollinger Bands for which signals to follow Trend-following tool that operates well in markets with a well- 2 Cycle Channel Index Oscillator defined cyclical pattern  Add a 40-period SMA and then measure the difference between the 2 Cycle Difference Oscillator average and price. Reveals sub-cycles 14-period average using the Wilder Moving Average for +DM & -DM. 1 Directional Movement Indicator Oscillator DMI+ is the ratio between +DM & 14-period ATR. DMI- is the opposite DI = (Fast MA - Slow MA) / (SD (Price(today) - Price(today-1), Slow 2 Divergence Index Oscillator Period)^2. Band = SD(D1, Slow Period) Uses a ratio between the number of outstanding shares, the current 2 Elastic VWAP Oscillator price & the volume of both the next and previous peridos. See calculation Slide 35, Volume, Open Interest The Fisher Transform takes the distribution above and changes it to 2 Fisher Transform Oscillator one that is approximately Gaussian by using natural logarithms 1 Force Index Oscillator Change in Closes multiplied by the volume 1 Herrick Payoff Index Oscillator Futures indicator that uses both Volume & Open Interest Separates the cycle phase into two components: Quadrature & 2 Hilbert Transform Oscillator InPhase. Built from four bars using quadratics Uses distribution of daily trading range. Uses relationship of the close 2 Intraday Intensity Oscillator to the high & low. If the day closes nearer to the high, then the volume is added. See calculation Slide 27, Volume, Open Interest Exponential Moving Average of an Exponential Oscillator. Histogram 2 MACD Oscillator is above 0 in an uptrend. Momentum = Price(today) - Price(today-n days). Smooths price and 2 Momentum Oscillator helps identify trends. Slope reveals acceleration MoneyFlow = Volume x ( (High+Low+Close) / 3 ) 1 Money Flow Index Oscillator MoneyRatio = (Sum(MoneyFlow) if > 0) / (Sum(MoneyFlow) if < 0) MFI = 100 - ( 100 / (1 + MoneyRatio) ) Turns today's volume into a percentage of average volume over a 2 Normalized Volume Oscillator look-back period On up days, all volume is allocated to the buyers. Down days to 1 On-Balance Volume Oscillator sellers. Volume is then either added or subtracted from the previous value.  Difference between 2 moving averages, Slow & Fast. Peaks & troughs 2 Oscillator Oscillator show that the fast MA is turning and the trend is losing strength Positive / Negative Volume 2 Oscillator Splits the concept of price adjusted volume into positive and negative Index Applies volume to the daily percentage change in price. See 1 Price & Volume Trend Oscillator calculation Slide 28, Volume, Open Interest Momentum per Bar. Shape is the same but values are different. ROC 2 Rate of Change Oscillator = ( Price(today) - Price (today-n days) ) / n Measures upwards and downwards movements and calculates a 2 Relative Strength Index (RSI) Oscillator ratio. Compares the magnitued of gains to losses over the lookback period. Measures the range from the open to the close and divides by range 2 Relative Vigor Index Oscillator from high to low Based off the squared difference between two EMAs. Which are 2 Short Cycle Indicator Oscillator compared in a Stochastic fashion. Reacts to changing volatility. See calculation Slide 32, Cycles Analysis Uses High and Low prices and measures relative position within the 2 Stochastic Oscillator range of the lookback period Similar to Wilder's RSI Oscillator. Tick Volume is double smoothed. 2 Tick Volume Oscillator Oscillator Used to confirm price direction 2 TRIX Oscillator EMA of an EMA of an EMA. Triple Smoothed Exponential 2 True Strength Index Oscillator Double Smoothed. Has less lag than expected and is still very smooth. Corrects potential flaws in CMF by using Wilder's True Range 1 Twiggs Money Flow Oscillator calculation for the High and Low and EMA's for the sums Usines William's Buying Pressure & Wilder's True Range concepts 2 Ultimate Oscillator Oscillator over 7, 14, & 28 periods Calculates a ratio based on the position of the close to the average 2 Volume Accumulator Oscillator price of the intra-day data. See calculation Slide 25, Volume, Open Interest Similar to OBV but adds 1 for increasing volume days and subtracts 1 2 Volume Count indicator Oscillator for decreasing volume days. See calculation Slide 25, Volume, Open Interest 2 Volume Momentum Oscillator Exactly like price momentum but placed over volume. Compare 2 moving averages of Volume. Used to visualise volume 1 Volume Oscillator Oscillator patterns Closing prices are multiplied by Volume, These are averaged and the 2 Volume Weighted MACD Oscillator MACD Oscillator and Signal line calculated. Inverse of Stochastic. Measures the range from the High instead of 2 Williams %R Oscillator from the Low. %R = 100 x ( (Highest High - Close) / (Highest high - Lowest Low ) ) Uses True Range in calculation. True Range High = Max. True Range Williams Accumulation 1 Oscillator Low = Min. If today's close > yesterdays, AD = Close - TRL. Otherwise, Distribution AD = close - TRH Williams Variable Accumulation Uses the difference between the day's Open and Close in relation to 1 Oscillator Distribution the High & Low Based on ATR from the low of the data. Only gets closer to price. 1 Chandelier Stop Stop Reverses when triggered Uses acceleation factor. Does not consider volatility, subject to 1 Parabolic Stop & Reverse Stop whipsaws 1 Andrew's Pitchfork Trend 2 Average Volume Trend Simple Moving Average of Volume. Needs to be at least 50-periods. Plus or Minus 2 Standard Devations should account for 95% of price 1 Bollinger Bands Trend action SMA offset by half the period of the moving average. Average of the 2 Centered Moving Average Trend data on either side 1 Channels Trend Manually drawn 1 Donchian Channel Trend Shows highest & lowest prices over the past four weeks Moving Average Bands that are offset from the central MA by a fixed 1 Envelopes Trend interval (in points or percent). 1 Exponential Moving Average Trend Calculation is 100 - (2 / (Periods + 1) ) 1 Gann Fans Trend Identifies speed of trend using lines of 1x1, 2x1, 1x2, 3x1, 1x3, etc SMA of percent changes between previous price & current price. See 1 Geometric Moving Average Trend calculation Slide 8, Moving Averages 1 Keltner Channels Trend Calculates the average of the bar range 1 Simple Moving Average Trend Average of the previous 10 values STARC Bands - See Keltner 1 Trend Uses traditional ATR's in the calculation Channels 1 Trend Line Trend Manually drawn. Under troughs uptrend. Above peaks in downtrend. 2 Triangular Moving Average Trend Takes a SMA & calculates a SMA with half the period length Triangular Weighted Moving Gives more weight to the middle of the period. Ex. In a 20-period MA, 2 Trend Average more weight is on the 10th period An exponential moving average that adapts to volatility. When prices 2 Variable EMA Trend are congested, it slows down (gets longer) to avoid whipsaw. Volume Weighted Average Price Examines every tick in the period. Prices are weighted by the total 2 Trend (VWAP) volume at that price. Average considers the volume. Gives extra weight to recent data. Most recent price (in 10 period) is 2 Weighted Moving Average Trend multiplied by 10. Price before multipled by 9, etc. 2 Wilder Moving Average Trend ( (Periods - 1) x (Yesterday's MA) + Price ) / Periods 1 Volume Volume High Volume confirms significant reversal points Accumulation/Distribution - See 2 Chaikin Accumulation Distribution Elder Force Index - See Force 1 Index