Matt's Breadth Indicator

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Matt's Breadth Indicator

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Hello folks,

As a mean to train myself (I'm a novice coder) I decided to code this described strategy - http://throwinggoodmoney.com/matts-breadth-indicator/ credits to the author.

So how does it work? You count up all the stocks that are current members of the Russell 3000 and that are up >30% in the last 60 trading days. You also count the number that are more than 30% down. You do a breadth diffusion calculation like this:

up30 / (up30 + down30 ) * 100

The magic threshold is 75. If the last ten days have a value greater than 75, it’s a ‘green’ day and ok to trade. If the last ten days have a value less than 75, it’s a ‘red’ day and you should exit long-term trades immediately. If the last ten days are neither all above or below the line, then you continue the status quo with no change.

There is just a difference due to the max 500 stocks universe limitation, I couldn't screen the whole Russel3000 and reevaluate each day so I decided to pick 500 stocks in the top 1000 to 1500 US stocks listed by marketcap.

Here is the result "out from the book", but I'm sure some improvement or strategy can be built from this idea.

2 responses

Here another attempt with different parameters and shorting allowed.

70 long threshold (instead of 75)
30 short threshold (instead of none)
12 days over/under (instead of 10)
20% (instead of 30%)

TYVM for sharing!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.