OPEN-SOURCE SCRIPT
Whaley Breadth Thrust Indicator
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The Whaley Breadth Thrust Indicator (WBT) is a momentum-based technical indicator designed to identify the strength of market trends. It measures the market's breadth by comparing advancing stocks to declining stocks, providing insights into whether a market is in a bullish, neutral, or bearish state. This script calculates the indicator based on the advancing and declining U.S. stocks; however, it can be expanded to other markets as well.
Breadth Thrust Ratio (BTR):
This is calculated as the ratio of advancing stocks to the total number of advancing and declining stocks.
Formula: BTR = Advances / (Advances + Declines + small_offset), where the small offset prevents division errors.
Smoothing:
The BTR is smoothed using a 3-period Exponential Moving Average (EMA) to reduce noise and highlight significant trends.
Thresholds:
0.30: Indicates a strongly bearish market.
0.40: A bearish threshold; crossing below suggests bearish momentum.
0.60: A bullish threshold; crossing above suggests bullish momentum.
0.70: Indicates a strongly bullish market.
Breadth Thrust Ratio (BTR):
This is calculated as the ratio of advancing stocks to the total number of advancing and declining stocks.
Formula: BTR = Advances / (Advances + Declines + small_offset), where the small offset prevents division errors.
Smoothing:
The BTR is smoothed using a 3-period Exponential Moving Average (EMA) to reduce noise and highlight significant trends.
Thresholds:
0.30: Indicates a strongly bearish market.
0.40: A bearish threshold; crossing below suggests bearish momentum.
0.60: A bullish threshold; crossing above suggests bullish momentum.
0.70: Indicates a strongly bullish market.
Notes de version
Changes:- Added several user inputs
- Added additional thresholds
- Modified the calculation method to use SMA and not the EMA to be consistent with Wayne Whaley's paper Planes, Trains and Automobiles
- Added threshold alerts
- Added highlights for statistically significant thresholds
Notes de version
Minor code change
Script open-source
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