Breadth calculation for any group of securities is not rocket science ! (In other words, there is no 'confidential' algorithm involved.) One can do it at home.
Say if I have a group of securities - MSFT, CSCO, DELL and YHOO and I want to perform a simple breadth calculation on this, then all I need is nothing more than the prices (open/high/low/close) and volume for each of these securities.
(Calculation for Up Volume and Down Volume is similar to that for Advancing Issues and Declining Issues. Total Volume is of course very obvious.) That's all there is to it ! What holds for a group of securities that has 4 stocks in at, such as what we considered here, holds for a group of stocks that has 30 (DJIA), 100 (Nasdaq 100) or 500 (S&P 500) or even 2000 (Russell 2000) stocks in it. Or same may be applied to any ETF/Mutual-Fund for which one knows its components.
- If say on 01-APR, each of these stocks go up,
then the number of advancing issues = 4 and number of declining issues = 0 and number of unchanged issues = 0.
- If say on 02-APR, YHOO, DELL, and CSCO go up, but MSFT goes down,
then the number of advancing issues = 3 and number of declining issues = 1 and number of unchanged issues = 0.
- If say on 03-APR, MSFT goes up, DELL stays unchanged and YHOO and CSCO go down,
then the number of advancing issues = 1, and number of declining issues = 2 and number of unchanged issues = 1.
- If say on 01-MAY, YHOO sets a new 52 week high, and none of the others set either new 52 week high or low,
then the new highs = 1 and new lows = 0.
- If say on 02-MAY, none of them set a new 52 week high or low,
then the new highs = 0 and new lows = 0.
- If say on 03-MAY, MSFT sets a new 52 week low, and none of the others set either new 52 week high or low,
then the new highs = 0 and new lows = 1.
The calculation of direction/divergence (Disha/DigBheda - Sanskrit words) of course is different. This calculation has nothing to do with breadth.
One can do direction/divergence for anything. (Say direction of attacks on Occupation Forces in Iraq (increasing/decreasing) vs Direction of Casulaties of Occupation Forces in Iraq (increasing/decreasing), and the divergence between them. This divergecne will give the effectiveness of the attackers in causing csualities.)
I've found that direction/divergence calculation gives even more of actionable intelligence than just the breadth calcuation alone.