There are other considerations that must be taken with respect to the data. Up until the introduction of ETFs in 1993, data collection for the weekly Most Actives was relatively easy. An analyst could buy a copy of Barron’s on Saturday morning, count the Most Actives issues up and down, and then plot the net difference in an A-D line. That is no longer the case.
According to Dow Jones, about three years ago the Barron’s editorial team decided to include NYSE Arca stocks in its NYSE lists instead of breaking them out into a separate category. This accounts for the difference between Barron’s weekly and The Wall Street Journal’s daily Most Actives lists in terms of the categories included.
As a consequence of the data reporting variances, we collect the Most Actives data in the following manner:
- Weekly data are extracted from Barron’s Online and are placed in a composite file of 20 Most Active issues culled from the NYSE and Nasdaq exchanges, including ETFs and inverse ETFs that must be adjusted if they appear in the Top 20. Amex’s Most Actives exchange volume tends to be low and is not a consideration.
- Daily data, although not within the scope of this article, are collected online using the NYSE Most Actives composite, including ETFs, as provided by The Wall Street Journal.
The above steps give us our MAAD line. While a cursory glance suggests that this is a more viable indicator than NYAD, deeper analysis is required to pass judgment. In the second part of this series, we will break down the historical performance of this indicator and develop a systematic trading strategy based on it.
Robert McCurtain is a technical analyst/market timer, private investor and financial markets consultant based in New York City. He is a member of the Market Technicians Association and can be reached at email@example.com.