No. of Recommendations: 7
robbie defined nhnl in his post Bear Catcher II Bug Fix on 03/27/2016:
http://www.datahelper.com/mi/search.phtml?nofool=y...BCII Re-Formulated
I considered many possible solutions to the problem described at the beginning of this post, but the one I've settled upon happens to be the simplest and (in hindsight) the most obvious, so I won't bother presenting the others. All of them, however, attempted to the keep the indicator unaffected by changes in the number of stocks in the market. My solution is simply this: Express the daily number of strict new 252-day highest closes and strict new 252-day lowest closes (for what I mean by "strict", follow my link at the top of this post) as percentages of the number of eligible stocks in the exchange(s). Take the
nine-day weighted moving average (weights 9, 8, 7, ... 1) of each and subtract. The indicator is bearish when this difference is negative, and bullish otherwise. (If this description requires clarification, simply run the URL below with "Signal Values" selected, download the report spreadsheet, open it in Excel and scroll down to Daily Signal Values, where all of the calculations should be transparent.)
However, as with the conventional NASDAQ New High/New Low difference (which does not adapt to the size of the market), the optimal cut-off turns out not to be zero, but a negative percentage. The following table summarizes performance statistics for trading ZY100 according to BCII with various percentage point cut-offs for the NH/NL difference:
