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Technical Market Indicators
W.D. Gann, Technical Analysis, Stock Market Timing, Money Managers, Investing, Business, free news update
126 Comparably Measured
Technical Market Indicators
Ranked by Annual Relative Advantage
The following is an excerpt from my 820-page research book,
Colby, Robert W., The Encyclopedia of Technical Market Indicators, Second Edition, McGraw-Hill Publishing, 2003 (click here for a description).
Maximizing Profits Using "Annual Relative Advantage"
Q: I am interested primarily in aggressive swing trading to maximize profit. I want to pick indicators and trading systems that might best help me make as much money as possible. How can I sort the indicators in your book to help me find the ones best suited to my goals?
A: Annual Relative Advantage is the most effective way to quickly rank indicators for those interested in maximizing profit.
To understand the meaning of these figures, we need to start with the first column on pages 32-35, "Versus Buy & Hold", which is the net profit performance of the strategy listed compared to the net profit performance of passive Buy & Hold Strategy. In other words, it is "Total net profit" of the indicator listed divided by the "Buy/hold profit", as shown in the Indicator Strategy Example "System Report" table for each indicator.
In the second column of the table on pages 32-35, "Annual Relative Advantage" is the number in the first column (labeled "Versus Buy & Hold") divided by the number of years in the test, which is shown in the Indicator Strategy Example "System Report" table. This ratio makes indicators measured over different time intervals more comparable.
For example, according to the second column, "Annual Relative Advantage", the top performing indicator strategies were, in rank order, the Exponential Moving Average (5 days) crossover, Weighted Moving Average (6-days)crossover, Percentage Hughes AD Oscillator with 8 Parameters, Advance / Decline Ratio, and Indicator Seasons--Colby�s Optimized Version.
In contrast, indicators at the bottom of the table, those preceded by a minus sign, underperformed the Buy & Hold Strategy and, therefore, would not be appropriate indicators for those seeking profit maximization.
If you carefully compare the numbers shown in the table on pages 32-35 with the numbers shown in each of the Indicator Strategy Example "System Report" tables for each indicator that looks good to you, then you will gain better insights into where the numbers on pages 32-35 come from. In each Indicator chapter, profit and loss summary statistics are shown in detail. You will find definitions of terms in the legend shown in the "System Report".
Note that I consistently started each indicator system test with an amount of $100, and that amount grew according to the Profit and Loss effectiveness of each indicator strategy to the amount shown in the Indicator Strategy Example System Report table "Total net profit" for each indicator.
Time periods used to test each indicator are usually daily data from 1900 to 2001, if available, otherwise the maximum data available. Dates and time periods are specified in each indicator's individual Indicator Strategy Example. Use the index in the back of the book to quickly locate the indicator page number by the name of the indicator.
In some cases, weekly or monthly data had to be used and, if so, that is disclosed in the Indicator Strategy Example for each indicator.
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Comparably Measured Technical Market Indicators
Ranked by Annual Relative Advantage
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766849.86 � Exponential Moving Average (5 days)
510822.71 � Weighted Moving Average (6-days)
186721.50 � Percentage Hughes AD Oscillator with 8 Parameters
102924.31 � Advance / Decline Ratio
82374.96 � Indicator Seasons, Colby�s � Optimized
67454.12 � Advance-Decline Non-Cumulative (Hughes)
55137.23 � Schultz Advances/Total Issues Traded (A/T)
45084.89 � Advance-Decline Line, A-D Line
36689.09 � Number of Advancing Issues
24350.59 � Volume Acceleration
23220.51 � Dow Theory: using 3-day EMA
20603.74 � Volume * Price Momentum Oscillator (V*PMO)
19989.81 � Lowry's Short-term Buying Power
19916.26 � Lowry's Buying Power Minus Selling Pressure
16379.59 � Number of Declining Issues
16051.94 � Volume: On-Balance Volume (OBV)
7096.20 � Volume: Williams' Variable Accumulation Distribution
6307.55 � Volume Accumulation Oscillator
5961.04 � Accumulation Swing Index (ASI)
4554.84 � Accumulation / Distribution ( AD )
1789.85 � Volume : Cumulative Volume Index
1223.99 � Sign of the Bear
374.60 � Commodity Channel Index Crossing Zero: Zero CCI
368.28 � TICK (Crossing 11-day EMA)
282.40 � Aaa long-term corporate bond yield versus EMA
249.76 � Breadth A/D Indicator: Breadth Thrust
176.82 � Indicator Seasons, Colby�s Variation
141.18 � Multiple Time Frame Analysis (10, 50, 200)
133.22 � Pivot Point Reverse Trading System
103.99 � McClellan Summation Index Direction, Long and Short
103.39 � McClellan Oscillator Crossing Zero, Long and Short
83.14 � Haurlan Index
79.13 � US Treasury Bond Futures, Combined Strategy
68.69 � Arms' Ease of Movement Value (EMV)
67.09 � US Treasury Bond Futures versus 16-day EMA
55.71 � Dow Theory: 8 Different Price Channels
38.75 � Dow Theory
32.97 � New Lows / Total Issues Traded <> 3.53%
29.85 � Days of the Month and the Months of the Year
26.46 � STIX: The Polymetric Short-term Indicator
24.01 � Demand Index (DI)
23.98 � Exponential Moving Average (120 days)
19.96 � Simple Moving Average (126-days)
15.82 � New Highs - New Lows
13.36 � Percentage 30-week Simple Moving Averages
7.01 � Percentage 10-week Simple Moving Averages
6.73 � Put/Call Premium Ratio
6.45 � Days of the Month
6.39 � Months of the Year (a seasonal strategy)
6.29 � (New Highs - New Lows) / Total Issues Traded
6.14 � Put/Call Volume Ratio Jump Strategy
5.95 � Call-Put Dollar Value Ratio
5.72 � Volatility & Price Channel
5.66 � Odd Lot Short Ratio
4.94 � Arms' Short-Term Trading Index (TRIN, MKDS)
4.93 � Days of the Week
4.79 � Call-Put Volume Ratio
3.28 � Price Oscillators: Moving Average Oscillators
3.20 � Margin Debt Overbought/Oversold Bracket Rule
3.02 � Rate of Change, 18 weeks
2.60 � Smoothed Momentum Slope Indicator
2.55 � Stochastics (7 days, 3 SMA, B 30, S 70)
2.47 � Price Channel Trading Range Breakout Rule
2.47 � Volume
2.24 � Public Short Ratio
2.10 � Call-Put Premium Ratio
1.90 � Commodity Channel Index (CCI)
1.85 � Advisory Sentiment Index
1.67 � Ultimate Oscillator
1.65 � Upside/Downside Ratio
1.64 � Directional Movement Index
1.29 � New Highs / Total Issues Traded >< 1.55%
1.24 � Volume Reversal
1.15 � Total Issues Traded (270-day EMA)
1.13 � Dow Theory: 90-Day Price Channels
1.12 � Public / Specialist Short Ratio
1.08 � Open Interest Trend-following Strategy
1.06 � Parabolic Time/Price System (Contrary)
0.98 � Insiders' Sell/Buy Ratio
0.90 � Open Interest
0.89 � Projection Oscillator
0.80 � Odd Lot Sales / Purchases
0.78 � Aroon, Aroon Oscillator
0.67 � 25-Day Plurality with Bollinger Bands (324, 2sd)
0.63 � KST with 33% faster parameters
0.61 � Positive Volume Index VS 1-year EMA
0.23 � Qstick 9, Counter-trend
0.18 � Envelopes, Moving Average Envelopes
0.16 � Stochastics with EMA Filter
0.07 � Aroon 270
0.07 � Relative Volatility Index (RVI)
0.01 � Moving Average Convergence-Divergence (MACD)
0.00 � Absolute Breadth Index
0.00 � Buy-and-Hold Strategy: the Passive Strategy
0.00 � Member Short Ratio (Envelope, 25 EMA & 10%)
-0.12 � Coppock Curve (Coppock Guide)
-0.14 � Specialist Short Ratio
-0.36 � Unchanged Issues Index
-0.40 � McClellan Summation Crossing Zero, Long Only
-0.45 � Negative Volume Index (NVI)
-0.53 � Call-Put Dollar Value Flow Line (CPFL)
-0.57 � KST (Know Sure Thing)
-0.84 � Short Interest Ratio
-0.98 � Keltner Channel with EMA filter
-1.07 � Presidential Election Cycle
-1.13 � Triple EMA (TEMA), 6-days
-1.18 � Projection Bands
-1.24 � Margin Debt crosses trailing 13-month EMA
-1.36 � 25-Day Plurality Index
-1.39 � Linear Regression Line, 5-days
-1.43 � Chande Momentum Oscillator (CMO)
-1.43 � Ninety Percent Days, Nine to One Days
-1.68 � Relative Strength Index (RSI)
-1.73 � Key Reversal Day
-1.76 � TRIX (triple exponential smoothing)
-1.88 � Bollinger Bands
-2.52 � R-squared
-2.53 � Double Exponential Moving Averages (DEMA)
-2.63 � Linear Regression Slope, 244 days
-2.66 � General Motors as a Market Bellwether Stock
-2.67 � The Range Indicator (TRI)
-3.05 � Herrick Payoff Index
-3.17 � Volatility, CBOE Volatility Index (VIX)
-3.48 � Random Walk Index (RWI)
-3.99 � Volume: Klinger Oscillator (KO)
-4.19 � Qstick 1, Trend-following
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