Lowry Up Down Volume Ratio?

[Zlotko]

Anybody has the Lowry Up Down Volume Ratio?
So it will work on NQ

The Lowry buy-the-dip Indicator​

by RecessionALERT on OCTOBER 25, 2021 in RESEARCH PAPERS
On 26th February 2002, Paul F. Desmond from Lowry’s Research published a seminal paper titled “Identifying Bear Market Bottoms & New Bull Markets” ( download) This concept measured market breadth, namely daily advancing stocks as a % of advancing and declining stocks as well as points gained as a % of points gained and lost.
The research posited that during significant market declines, panic would manifest itself as one or more days when declining stocks exceeded advancing stocks by more than 9-to-1 (declining stocks made up more than 90% of stock movement) and when points lost made up more than 90% of total points movement. Shortly after such a sequence of panic measurements, a stock market bottom reversal would be signified by a day when advancing stocks exceeded declining stocks by more than 4-to-1 (advancing stocks made up more than 80% of stock movement) and similarly for points gained.
This “rush buying” following one or more days of “panic selling” is normally a manifestation of those short the market having to buy stocks to cover their short positions. Once most of the short positions had been liquidated, the rest of the buyers would follow suit to propel the stock market on a new bull run.
Whilst the concept was illustrated in the paper, it was focused on major stock market declines (bear markets) and did not give any specific guidelines on how many “panic days” were suitable to observe before taking 80% up-days seriously enough to call a market bottom. Without such clear guidelines it was difficult for the layman to formulate a general rule with enough efficacy to suit a profitable stock market trading strategy.
In our research we explore the Lowry concepts further for the SP500, but for isolating frequent and accurate buy-the-dip signals in bull market up-legs as opposed to those signaling the end of bear markets. Our aim was to find a signal to complement the other 5 major buy-the-dip signals we have been providing subscribers for near on a decade.
For the purposes of our research, we focused on two breadth metrics freely available for the SP500, namely daily advancers & decliners (issues) and daily advancing/declining volume. We then measure six-day rolling counts of the following events which are all expressions of either panic selling or rush buying:

1. Advancing issues exceed declining issues by at least 9-to-1 (advancers >= 90% of movement)
2. Advancing issues exceed declining issues by at least 4-to-1 but less than 9-to-1 (advancers are 80-90% of movement)
3. Declining issues exceed advancing issues by at least 9-to-1 (decliners >= 90% of movement)
4. Declining issues exceed advancing issues by at least 4-to-1 but less than 9-to-1 (decliners are 80-90% of movement)
5. Advancing volume exceed declining volume by at least 9-to-1 (up-volume >= 90% of movement)
6. Advancing volume exceed declining volume by at least 4-to-1 but less than 9-to-1 (up-volume is 80-90% of movement)
7. Declining volume exceed advancing volume by at least 9-to-1 (down-volume >= 90% of movement)
8. Declining volume exceed advancing volume by at least 4-to-1 but less than 9-to-1 (down-volume is 80-90% of movement)

It makes sense that 9-to-1 (90%) events are more powerful than 4-to-1 (80%) events, but our research has shown that back-to-back 4-to-1 events are equally as powerful as 9-to-1 events, thus we measure both for optimum results over a rolling 6-session window to determine the appropriate selling or buying pressure inherent in the market. Whilst our research examined sizes of various rolling windows with which to tally all the counts, we found the use of the six-session window most instructive for the decade of the 2011 to 2021 bull market period.

 

[markos]

Anybody has the Lowry Up Down Volume Ratio?
So it will work on NQ

The Lowry buy-the-dip Indicator​

by RecessionALERT on OCTOBER 25, 2021 in RESEARCH PAPERS
On 26th February 2002, Paul F. Desmond from Lowry’s Research published a seminal paper titled “Identifying Bear Market Bottoms & New Bull Markets” ( download) This concept measured market breadth, namely daily advancing stocks as a % of advancing and declining stocks as well as points gained as a % of points gained and lost.
The research posited that during significant market declines, panic would manifest itself as one or more days when declining stocks exceeded advancing stocks by more than 9-to-1 (declining stocks made up more than 90% of stock movement) and when points lost made up more than 90% of total points movement. Shortly after such a sequence of panic measurements, a stock market bottom reversal would be signified by a day when advancing stocks exceeded declining stocks by more than 4-to-1 (advancing stocks made up more than 80% of stock movement) and similarly for points gained.
This “rush buying” following one or more days of “panic selling” is normally a manifestation of those short the market having to buy stocks to cover their short positions. Once most of the short positions had been liquidated, the rest of the buyers would follow suit to propel the stock market on a new bull run.
Whilst the concept was illustrated in the paper, it was focused on major stock market declines (bear markets) and did not give any specific guidelines on how many “panic days” were suitable to observe before taking 80% up-days seriously enough to call a market bottom. Without such clear guidelines it was difficult for the layman to formulate a general rule with enough efficacy to suit a profitable stock market trading strategy.
In our research we explore the Lowry concepts further for the SP500, but for isolating frequent and accurate buy-the-dip signals in bull market up-legs as opposed to those signaling the end of bear markets. Our aim was to find a signal to complement the other 5 major buy-the-dip signals we have been providing subscribers for near on a decade.
For the purposes of our research, we focused on two breadth metrics freely available for the SP500, namely daily advancers & decliners (issues) and daily advancing/declining volume. We then measure six-day rolling counts of the following events which are all expressions of either panic selling or rush buying:

1. Advancing issues exceed declining issues by at least 9-to-1 (advancers >= 90% of movement)
2. Advancing issues exceed declining issues by at least 4-to-1 but less than 9-to-1 (advancers are 80-90% of movement)
3. Declining issues exceed advancing issues by at least 9-to-1 (decliners >= 90% of movement)
4. Declining issues exceed advancing issues by at least 4-to-1 but less than 9-to-1 (decliners are 80-90% of movement)
5. Advancing volume exceed declining volume by at least 9-to-1 (up-volume >= 90% of movement)
6. Advancing volume exceed declining volume by at least 4-to-1 but less than 9-to-1 (up-volume is 80-90% of movement)
7. Declining volume exceed advancing volume by at least 9-to-1 (down-volume >= 90% of movement)
8. Declining volume exceed advancing volume by at least 4-to-1 but less than 9-to-1 (down-volume is 80-90% of movement)

It makes sense that 9-to-1 (90%) events are more powerful than 4-to-1 (80%) events, but our research has shown that back-to-back 4-to-1 events are equally as powerful as 9-to-1 events, thus we measure both for optimum results over a rolling 6-session window to determine the appropriate selling or buying pressure inherent in the market. Whilst our research examined sizes of various rolling windows with which to tally all the counts, we found the use of the six-session window most instructive for the decade of the 2011 to 2021 bull market period.

Good question, really. Have you tried the search bar at upper right? or Have you tried the OneNote resource guide to all things thinkscript located in tutorials?

 

[Zlotko]

Good question, really. Have you tried the search bar at upper right? or Have you tried the OneNote resource guide to all things thinkscript located in tutorials?

All the time but could not find it;(

 

[pupu]

Something like this?

# UVol DVol Index
# Mobius
# Plots the index up volume vs down volume and signals 90% bars

declare lower;

plot upVol = close("$UVOL");
upVol.SetPaintingStrategy(PaintingStrategy.Histogram);
upVol.SetDefaultColor(Color.Green);
plot dnVol = close("$DVOL");
dnVol.SetPaintingStrategy(PaintingStrategy.Squared_Histogram);
dnVol.SetDefaultColor(Color.Red);
plot up = if(upVol >= .9 * (upVol + dnVol), highestAll(max(upVol, dnVol)), double.nan);
up.SetPaintingStrategy(PaintingStrategy.Arrow_UP);
up.SetDefaultColor(Color.Green);
up.HideBubble();
up.HideTitle();
plot dn = if(dnVol >= .9 * (upVol + dnVol), highestAll(max(upVol, dnVol)), double.nan);
dn.SetPaintingStrategy(PaintingStrategy.Arrow_DOWN);
dn.SetDefaultColor(Color.Red);
dn.HideBubble();
dn.HideTitle();
def ad = if(isNaN(close("$ADSPD")), ad[1], close("$ADSPD"));
addLabel(1, "Advance/Decline Line = " + ad, if ad > 350 then color.green else if ad < -350 then color.red else color.white);
# End Code

But what is interesting/strange about Mobius' code is that, the up/dn Vol uses "NYSE trades only" issue volume, but the AD label uses "SNP 500 Advancing Issues - Declining Issues Difference".

 

[pupu]

1. Advancing issues exceed declining issues by at least 9-to-1 (advancers >= 90% of movement)
2. Advancing issues exceed declining issues by at least 4-to-1 but less than 9-to-1 (advancers are 80-90% of movement)
3. Declining issues exceed advancing issues by at least 9-to-1 (decliners >= 90% of movement)
4. Declining issues exceed advancing issues by at least 4-to-1 but less than 9-to-1 (decliners are 80-90% of movement)
5. Advancing volume exceed declining volume by at least 9-to-1 (up-volume >= 90% of movement)
6. Advancing volume exceed declining volume by at least 4-to-1 but less than 9-to-1 (up-volume is 80-90% of movement)
7. Declining volume exceed advancing volume by at least 9-to-1 (down-volume >= 90% of movement)
8. Declining volume exceed advancing volume by at least 4-to-1 but less than 9-to-1 (down-volume is 80-90% of movement)

Also, I am quite confused by the above statement.

In mobius' code, it seems he address the 9-to-1 condition for volume, but does not address:

9-to-1 for issues
4-to-1 for issues
4-to-1 for volumes

and I am not sure about the particular meaning of the above three conditions whether they are useful.

Furthermore, not sure what this means in turns of how to turn it into code:

back-to-back 4-to-1 events are equally as powerful as 9-to-1 events