Whaley ADT/UDT Indicators Vers 1.0

By : July 31, 2011 at 8:12 am

If you are not familiar with Wayne Whaley’s breadth work you should be.  Built upon the work of Dr. Martin Zweig, Wayne has developed a market model using several breadth patterns which include 52 week new highs/lows, Advancing/Declining strength and up/down volume and seasonals.  For his work, Wayne received the coveted Charles H. Dow award in 2010.  You can read Wayne’s initial Plane,Trains and Automobiles using this link.

 

Each night, Wayne publishes the best signals from his market model, which often include ADT and UDT or Advance/Decline Thrust or Up/Down Volume Thrust.  These are appended with the look back length, ie. an ADT3 would be a 3 day average of advancing/declining issues (number of symbols advancing as opposed to declining in price).

July 1st, 2011 Wayne wrote a piece on the double barrel 9:1 thurst: and his work often includes tables like this:

Double Barreled Lopsided Volume Reversal Days
When the Price Trend is 0-2
                   FORWARD S&P 500 PERFORMANCE
DATE  UDT1 UDT2 UDT3 UDT4  XMA0.01    1MT     3MT     6MT    12MT
19750127  1.1  5.2 91.7 92.6    0.01    7.16   14.93   18.47   31.44
19750409  8.2  2.9 91.2 91.6    1.03    9.28   14.44    6.68   21.14
19750919  8.9  6.6 97.0 93.7    0.25    3.47    3.40   17.12   23.74
19760105  5.2  3.7 91.9 93.4    1.05    8.44   11.81   12.45   13.16
19790103  7.3  3.4 90.2 91.5    0.11    1.74    4.70    4.39    7.59
19790327  9.1  5.7 90.0 90.4    0.70   -0.66   -0.20    7.54   -4.16
19791112  0.6  2.4 91.4 94.9    0.12    3.87   13.90    1.23   30.03
19860826  2.5  3.7 92.7 93.2    1.74   -8.15   -1.61   11.91   32.32
19870102  0.4  2.0 94.3 93.7    0.70   12.17   19.14   24.01    0.26
19880902  5.3  7.3 95.3 97.6    0.11    2.81    2.77    9.63   33.75
19890512  8.9  9.0 93.9 94.2    1.54    3.95    9.85    8.05   12.16
19970505  9.4  7.5 92.8 91.5    1.94    1.58   14.70   13.55   34.37
19971103  9.9  0.4 93.7 94.7    1.40    4.02    7.14   19.38   18.30
19981015  4.0  3.5 95.7 91.3    0.28    7.47   18.69   26.29   19.09
20040328  6.8  9.8 93.4 94.0    0.75    1.30    2.30    0.18    5.98
20040902  7.9  8.0 93.5 90.6    0.41    1.18    6.44    8.21    8.92
20060629  4.6  9.6 96.6 94.1    0.20    0.45    4.95   11.43   18.11
20090803  5.4  3.8 97.1 92.1    1.59    0.06    4.27    9.44   11.75
20100305  9.7  4.5 91.7 93.0    1.42    4.28   -6.48   -3.00   16.02
20100713  5.0  0.1 97.9 93.6    0.22   -1.47    7.56   17.20   22.31*
20101201  4.6  7.0 94.1 96.7    1.17    4.28    8.31    8.96   11.08*
20110701  8.4  3.7 91.6 96.3    0.99     ?       ?       ?       ?

#UP-DN =   18- 3   18- 3   20- 1   20- 1
AVG%CHG=    3.20    7.67   11.10   17.49
MED%CHG=    3.47    7.14    9.63   18.1

This table is a statistical historic performance of 9:1 up volume days using a UDT1.  I am more visual and would like to see the thrusts visually on the charts, hence the Whaley ADT/UDT indicator.

image

The red lines show us 9:1 down volume days.  Notice during the bottoming process we put in a series of negative 9:1 days.

 

The !RL_WW indicator released today can generate charts for an UDT/ADT of any length.  The inputs are:

 

image

Where:

Input Description
adv_up Data stream containing the advancing  issues or up volume issues
dec_dwn Data Stream containing the declining or down issues
len: Length of the data to do the averaging
thrust_length The number of days to move from Overbought to Oversold to create a thrust signal, or vice versa.
OS The value at which the thrust is considered oversold
OB The value at which the thrust is considered overbought.
Color_OB the color of the line line for an overbought condition
Color_OS the color for the line for an oversold condition
Color_Thrust The color to paint the line should a thrust condition exist.

 

The sample settings above are setup to look at an UDT or ADT of length 5 depending on how we have data stream 2 and 3 configured.  If we climb above 61.5 or below 40 the line will change color and indicate an Overbought or Oversold coloring.  If we go from the extremes in a 10 day trading period (thrust_length) then the line will be painted Yellow and a thrust alert will be generated.

 

image

 

The above chart is  generated with the example settings.

(Note that this chart has the indicator installed twice, one to generate the ADT and one the UDT)

 

Notes about setting up the data:

 

This indicator needs multiple data streams and the charts need to be setup accordingly.  The sample worksheets are available for download.

 

I like to leave Data Stream 1, ie, the default data stream, as the symbol I want to study, like the $SPX (SP500 index), and then use data stream 2 and 3 for up/down volume and 4 and 5 for issues advancing and declining .  This is how the data is setup for the above chart:

 

For TradeStation, there are a number of indexes available for study.  The format for the symbols are:

$UVOL = Up Volume

$DVOL = Down Volume

$ADV = Advancing Issues

$DECL = Declining Issues.

You can append a code to the symbol to get other indexes.  The default symbol without a code is the NYSE data.  The common codes that I use for my studies are:

RL = Russell 2000 ie. $UVOLRL

SP = SP500 ie. $UVOLSP

Q = Nasdaq Composite. ie. $UVOLQ

This is how to set up a chart for the SP500:

image

 

Sample Worksheet:

 

The supplied worksheet has 5 sample charts setup.

The upper left chart is the NYSE Advance/Decline data along with the NYSE index showing 7 different ADTs,

ADT2, ADT3, ADT5, ADT8, ADT13, and ADT21, which is a great study in visualizing how the different length ADTs work.

 

The remaining 4 charts are the NYSE, RUSSELL2000, Nasdaq COMP, and SP500 charts with their respective UDT5 and ADT5 plots setup (UDT on top ADT Bottom).

 

That gives you a great head-start in using the indicators.

 

image

 

To download the indicator and worksheets simply click on the link below.  You must be logged in to download and registered as a free member.

 

 

ELD Indicator:

Tradestation Worksheet:

 

Backtesting Strategy: soon

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