Sign Of the Bear Signal

From Peter Eliades' "Sign of the Bear" paper which won the 2000 MTA Charles H. Dow Award

After reading the Eliades paper, download the Advance and Decline data. The symbols used here are from Reuters DataLink. They may be different with other data providers.

Next, create the NYSE Advance/Decline ratio as follows. Open the dowloader, and select File>New>Composite....

In the new composite box, select the folder where the advance and decline data resides. Then (A) name your indicator, (B) add the advance data symbol in the Primary Symbol field, and decline data in the secondary field, weighting factor should be 1 as shown. Finally, (C) select the Divide operation. Save the composite by clicking Create.

Now you are ready to launch MetaStock. Load up the composite just created, and create this indicator:

flat:=BarsSince((C>=0.65 AND C<=1.95)=0);
limit:= flat>20 AND flat<28;
trigger:= Ref(limit,-1) AND C<0.65;
sign:=trigger OR Ref(trigger,-1) OR Ref(trigger,-2);
Cross(sign AND (Mov(C,2,S)<0.75 OR Mov(C,3,S)<0.75),0.5)

Attach the indicator to the composite chart, and you should have something like this:

The highlighted area shows a triggered signal. The red and green lines are moving averages, and the blue lines are at the are drawn at the threshold levels. The DJIA chart can be added or overlaid to show the effectiveness of the signal.