Chartmill | Chartmill Market Breadth Indicators

Chartmill Market Breadth Indicators

In the charts, some indicators are labelled ‘CMMB: xxx’.  ’CMMB’ stands for ‘ChartMill Market Breadth’ and these indicators are market breadth indicators. These indicators do not depend on the specific ticker that is shown on the chart, but contain information from multiple stocks in the marketplace. The following indicators are available:

  • CMMB: Moving Window Money Flow
  • CMMB: Cumulative Money Flow
  • CMMB: Nasdaq Advance – Decline Line
  • CMMB: Nasdaq McClellan Oscillator
  • CMMB: Nasdaq Summation Index
  • CMMB: AAII Bullish Sentiment
  • CMMB: AAII Bearish Sentiment
  • CMMB: AAII All Sentiment
  • CMMB: BDH Market Model

Each of these indicators will be discussed in more detail below.

CMMB: Moving Window Money Flow

This indicator is based on the Large Effective Volume of a large set of US stocks. All stocks with an average volume of at least 1 million participate in the indicator. This means that a little bit over 1000 stocks participate in the indicator.

Each minute, chartmill records the addition of the ‘price * LEV’ of the selected stocks. In this formula:

  • ‘Price’ is the current price of the security, this is expressed in dollars.
  • ‘LEV’ is the Large Effective Volume for that minute. This is the total amount of stocks (volume) that was accumulated or distributed by Large Players based on the Effective Volume calculation rules. This component is negative when large players distribute and positive when they accumulate.

So for each security, the actual amount of dollars accumulated or distributed by large players is recorded every minute. The sum over all securities gives an indication of the activity of large players in the market at every point in time.

Typically, on a daily basis, accumulation or distribution up to 2 billion dollars by large players can be considered ‘normal’. When accumulation or distribution exceeds 2 billion, large players are heavily distributing or accumulating.

The indicator has 2 parameters:

  • The size of the window. By default this is 20. The indicator will add the values of the bars for a window as specified by the parameter. In the daily timeframe, when the value is 20, the current value will be the sum of the total accumulation or distribution over 20 days. The value is shown by the black line on the chart. When the value is positive, this means there was net accumulation by large players in the last 20 days.
  • The moving average of the black line: by default the value is 20. The red line shows the moving average of the black line.

A chart with the indicator can be found here.

CMMB: Cumulative Money Flow

The input for the Cumulative Money Flow indicator is exactly the same as for the Moving Window Money Flow. Only this version accumulates the total from the start of the data.

The downside of the moving window version if that it can be difficult to interprete: When the line declines it does not necessarily mean that there was distribution on the last day. It just means that there was less accumulation than on the day that dropped out of the moving window.

The Cumulative indicator avoids this issue: if the line goes down it means that there was distribution.

This indicator is also very interesting in the intraday timeframe: it shows the current activities of large players in the market. When the market goes down and large players accumulate, this may indicate that further downside is limited. Of course, as with any other indicator, there are never guarantees.

A chart with the indicator can be found here.

CMMB: Nasdaq Advance – Decline Line

This indicator uses exactly the same data as the $ADDQ ticker. The indicator is the cumulative view of the Nasdaq advance – decline data.

CMMB: Nasdaq McClellan Oscillator

The McClellan Nasdaq Oscillator is a well known breadth indicator that used the advance – decline data as input.

CMMB: Nasdaq Summation Index

The Nasdaq Summation Index is also a popular breadth indicator. This is the cumulative value of the Nasdaq McClellan Oscillator.

CMMB: AAII Bullish Sentiment

AAII does a weekly survey and publishes weekly bullish, bearish and neutral investor sentiment. This indicator shows the Bullish Sentiment.

CMMB: AAII Bearish Sentiment

AAII does a weekly survey and publishes weekly bullish, bearish and neutral investor sentiment. This indicator shows the bearish sentiment.

CMMB: AAII All Sentiment

AAII does a weekly survey and publishes weekly bullish, bearish and neutral investor sentiment. This indicator shows the bullish, bearish and neutral sentiment.

CMMB: BDH Market Model

Historical data from the ‘buy dont hold’ market model. More information on the model can be found here.