[KY]McClellan Summation Index RSI

This script contains McClellan Summation Index ( MSI ) and McClellan Oscillator (MO)

(1) What is McClellan Summation Index ( MSI )
McClellan Summation Index ( MSI ) is a breadth indicator derived the McClellan Oscillator (MO),
which is a breadth indicator based on Net Advances (advancing issues less declining issues).
The Summation Index is simply a running total of the McClellan Oscillator values.
To identify the market direction, I prefer to use the relative strength ( RSI ) of MSI rather than MSI itself
because MSI is a summation so it's difficult to compare with previous market patterns. So I use RSI applied MSI .
Reference: Stockcharts.com has a nice set of detailed explanation about MSI .
(2) How to use this script
- Add this script to your chart.
- You can choose one of two options ("MSI RSI" or "MO").
- You can also choose the market from three options ("Nasdaq", "NYSE", "Nasdaq+NYSE")
(3) "MSI RSI" or "MO"
a) "MSI RSI"
For swing trade(sevelal weeks), MSI RSI is much better to identify the broad market direction.
I backtested last several years of S&P500 . The result was not symmetrical between MT bear/bull market.
For bull side, when MSI RSI curls up from the bottom(e.g. RSI 30 level), 90% of times out of them the market rallied.
For bear side, when MSI RSI rolles over to downside from the top(e.g. RSI 70 level), only 60% of times out of them the market declined.
So the market tends to hit negatively diverrgent high from advancing/declining issues perspective. Be careful to use MSI oscilator.
b) "MO"
For short term trade(intraday, 2-3 days of holding), MO is better because MSI is a summation so lags several days. MO is quick.
MO is sometimes very noisy, so you need to draw trendlines or horizontal levels to compare with the previous cases.
For beginners, I recommend to use "MSI RSI".
Mã nguồn mở

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Bình luận

Hi KaibaraYuzan,

another question. how this data is being up date to date. i mean i went to their site and they have subscriptions to have access to it.

wish you all the best.
Phản hồi
KaibaraYuzan samitrading
@samitrading, The data itself is provided by Tradingview. So you don't need to subscribe StockCharts.com. (I just want to provide detailed explanation about this index as Tom McClellan was a guest writer for StockCharts.com so they know it well.)
Phản hồi
samitrading KaibaraYuzan
@KaibaraYuzan, thank you kaibara. keep it coming, you are doing a great job.

wish you all the best.
Phản hồi
Hi KaibaraYuzan,

So the black line is actually rsi for the summation not the summation index it self ? Also, inside the indicator there is no S& P 500 ? are you working on it or the summation index does not apply for spx.

thank you in advance.
Phản hồi
KaibaraYuzan samitrading
(1) Correct. the chart above(smoother black line) is RSI of summation index not the summation index itself.
(2) Mathematically it's possible to calculate the SPX McClellan Oscillator if you know the advance/decline issues of each market index BUT tradingview does not provide adv/dec issues for SPX, so at the moment I cannot provide that. Sorry.
Phản hồi
samitrading KaibaraYuzan
@KaibaraYuzan, thanks dud you Rock.

wish you all the best.
Phản hồi
So great!

Could you plz tell me how can i change other index from Nasdaq?

By changing the ADVQ from security("ADVQ", period_msi, close) ?

Phản hồi
Nice work KY!
Phản hồi
@Adis64, Thanks for your compliment. Hope you enjoy it.
Phản hồi
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