Ah, very helpful Bruce - thanks.

The answer "stocks counted for T2112 are also counted in T2110" is the one I was most keen on. Thank you very much!

Regarding the standard deviation vs envelope channels question, I believe the T2s work on standard deviations. I quote from the worden helpfiles:

"T2109 through T2116 indicate the percentage of stocks trading 1 or 2 channels above or below their moving averages. The channels are envelope channels. One channel is equal to one standard deviation from the moving average and two channels equals 2 standard deviations from the moving average."

I'm happy to assume that the period the standard deviation is taken over is the same as the PMA. Please let me know if development or data say anything different.

Thanks again

Jess

Stumped eh?

Hi, I'm sure this is a simple one.

Regarding T2s, specifically T2109 - T2116, do the values returned represent the % of NYSE stocks trading:

• Beyond that channel line (ie T2110 shows % NYSE stocks 1 or more standard deviations above the 40 day PMA), or
• Within that channel line (ie T2110 shows % NYSE stocks trading above the 40 day PMA but by less that 1 standard deviation)

If it's the first one then the stocks that turn up in T2112 would also be counted in T2110. Is that right?

Also what period is the standard deviation taken over (is it the same as the PMA, ie 40 or 200) ?

Jess

I understand how indexes are calculated (been trading for several years) but I recently found myself asking a question that I can't find an answer to.

Are the highs and lows of an index (as opposed to the opens and closes) calculated off the highs and lows of its components? If so, it should be noted that the highs and lows of the components might have occurred at very different times of the day.

Alternatively the highs and lows of the index might be time based, i.e. the highest high for an index  might have been at X o'clock corresponding to some specific combination of real time component prices (weighted or otherwise). I suspect this is the answer - it would be a slightly easier calculation in constructing indexes in real time during live trading.

It might sound semantic but if you think about it the answer will have implications for spotting market turning points using indices.

Any ideas?

Hi,

How could I write a PCF that would return a 0 when price and volume are down on yesterday, -1  if price is up on reducing volume or down on increasing volume, and 1 if price is up on increeasing volume?

Cheers!