McClellan oscillator

McClellan oscillator

The McClellan oscillator is a market breadth indicator used by financial analysts of the New York Stock Exchange to evaluate the rate of money entering or leaving the market and interpretively indicate overbought or oversold conditions of the market.[1]

Contents

History

Developed by Sherman and Marian McClellan in 1969, the oscillator is computed using the exponential moving average (EMA) of the daily ordinal difference of advancing issues (stocks which gained in value) from declining issues (stocks which fell in value) over 39 trading day and 19 trading day periods.

How it works

The simplified formula for determining the oscillator is:

Oscillator = (19 day EMA of Advances minus Declines) − (39 day EMA of Advances minus Declines)

The McClellan summation index (MSI) is calculated by adding each day's McClellan oscillator to the previous day's summation index.

By using the summation index of the mcclellan oscillator, you can judge the markets overall bullishness or bearishness.

MSI properties

  • above zero it is considered to be bullish (positive growth)
  • below zero it is considered to be bearish (negative growth)

The Summation Index is oversold at −1000 to −1250 or overbought at 1000 to 1250. [1]

The number of stocks in a stock market determine the dynamic range of the MSI. For the NZSX (one of the smallest exchanges in the English-speaking world) the MSI would probably range between (−50 ... +50), the 19 and 39 constants (used for the US exchanges) would have to be revised. For the NZSX a MSI moving-average mechanism might be needed to smooth out the perturbations of such a small number of traded stocks.

References

External links



Wikimedia Foundation. 2010.

Игры ⚽ Нужна курсовая?

Look at other dictionaries:

  • McClellan Oscillator — The McClellan Oscillator is a market breadth indicator used by financial analysts of the New York Stock Exchange to generally indicate the rate of money entering or leaving the market and interpretively indicate overbought or oversold conditions… …   Wikipedia

  • McClellan Oscillator — A market breadth indicator that is based on the difference between the number of advancing and declining issues on the NYSE. It is primarily used for short and intermediate term trading. To calculate subtract a 39 day EMA (of advancing issues… …   Investment dictionary

  • McClellan Summation Index — The McClellan Summation Index is a long term version of the McClellan Oscillator. It is a market breadth indicator, and interpretation is similar to that of the McClellan Oscillator, except that it is more suited to major trends. Usually, a small …   Investment dictionary

  • Oscillator (technical analysis) — An oscillator is a technical analysis indicator that varies over time within a band (above and below a center line, or between set levels). Oscillators are used to discover short term overbought or oversold conditions. Common oscillators are MACD …   Wikipedia

  • Technical analysis — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

  • Осциллятор Макклеллана — (англ. McClellan oscillator)  рыночный технический индикатор, характеризующий разброс рынка («ширину рынка») по анализу количества растущих и падающих инструментов в периоде[1][2]; является одним из наиболее распространённых индикаторов …   Википедия

  • Технический индикатор — Окно торгового терминала в котором совмещены графики цены с графиком стохастического осциллятора. Технический индикатор (технический индикатор рынка, индикатор рынка, индикатор технического анализа …   Википедия

  • Accumulation/distribution index — is a technical analysis indicator intended to relate price and volume in the stock market. Contents 1 Formula 2 Chaikin oscillator 3 Similar indicators 4 …   Wikipedia

  • Макклеллан — Макклеллан, Макклелан (англ. McClellan): Макклеллан, Джеральд (англ. Gerald McClellan; 23 октября 1967 года)  американский боксёр профессионал. Макклелан, Джордж (англ. George Brinton McClellan; 3 декабря 1826 года  29… …   Википедия

  • Money Flow Index — (MFI) is an oscillator calculated over an N day period, ranging from 0 to 100, showing money flow on up days as a percentage of the total of up and down days. Money flow in technical analysis is typical price multiplied by volume, a kind of… …   Wikipedia

Share the article and excerpts

Direct link
Do a right-click on the link above
and select “Copy Link”