Summation Index

It would appear the McClellan Summation Index may provide an excellent indicator of the intermediate trend of the market, smoothly turning early in the movement. I'll endeavor to test this since it could perform more efficiently than the $NYHL weekly indicator. Note that it definitely called the turn last Tuesday, early and smoothly. It seems to be more ragged at tops, but then, tops are usually more ragged than bottoms.

The McClellan Summation Index is normally a running summation of the McClellan Oscillator. The McClellan Oscillator subtracts the number of declining issues from the number of advancing issues, divided by the total advancing and declining issues. Rather than working with a fraction, the Oscillator multiples the fraction by 1000 to get a nice round number. The Oscillator then uses a 19-day exponential moving average (EMA) vs. a 39-EMA. When the shorter-term (19-day) EMA crosses the longer-term (39-day) EMA, a change in market direction is indicated. By actually subtracting the 39-day EMA from the 19-day EMA, a graphic is created where the result crosses zero.

The original Summation Index is then a running accumulation or summation of the Oscillator. A smoother version uses a calculation: 1000 + (19-day EMA – 39-day EMA) – [(10 * 19-day EMA) – (20 * 39-day EMA)]. The EMAs are Advances - Declines.
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Each vertical divider in the attached graph is one week.