Methodology · Plain language
How to read the indicators
Each measure answers a different question. Levels show the present state; direction and persistence show whether that state is strengthening or weakening. No single reading is treated as a trading instruction.
01
Market regime and daily composite score
A 0–100 summary of eight breadth and market-internal measures for the S&P 500 stock universe. Higher readings indicate broader, healthier participation; lower readings indicate weaker, more defensive conditions.
How it is built
The score combines the percentage of S&P 500 constituents above their 20-, 50- and 200-day moving averages, the trend in the Advance/Decline line, the McClellan Oscillator, High-Low Index, advancing-share trend, and new-high/new-low balance. The stable score is a five-session exponential average that reduces one-day noise.
How to use it
Watch the score’s direction, persistence and label—not only today’s number. A falling score while the S&P 500 index remains firm can expose weakening participation below the surface.
02
S&P 500 constituents above moving averages
The percentage of S&P 500 constituent stocks trading above their own moving average. SPY is used elsewhere as the index-tracking ETF; this breadth measure is calculated from the underlying stock universe, not from SPY alone.
How to use it
MA20 reacts fastest, while MA200 describes longer-term structure. Rising percentages mean participation is broadening across S&P 500 stocks. A wide gap—weak MA20 but firm MA200, for example—can indicate a short-term correction inside a healthier long-term structure. A strong index supported by fewer constituents is a breadth divergence worth monitoring.
03
Sell-off risk warning count
A causal stress dashboard, not a probability of a crash. It counts how many of 12 monitored components are at least one standard deviation into their risk direction versus information available before that day.
What is monitored
Short-, medium- and long-term breadth; advancing participation; McClellan breadth; new highs versus lows; Zweig breadth; bearish trend alignment; stock volatility; return dispersion; SPY volatility; and SPY drawdown stress.
How to use it
Zero to four active components is normal, five is elevated, six is high, and seven or more is very high. Rising and persistent counts suggest several independent forms of stress are clustering. The count identifies conditions; it does not predict the timing or size of a decline.
04
SPY next-session range forecast
A probabilistic close-to-close range for the next US session, estimated from daily volatility and empirical residuals.
How to use it
The 50% band is expected to contain roughly half of outcomes over a well-calibrated history; the wider 80% band should contain roughly four in five. These are coverage intervals, not minimum and maximum prices. When the system says direction is withheld, the data does not support a robust directional edge. Overnight, intraday and event-specific risks may fall outside the model.
05
Sector momentum composite
A 0–100 comparative score showing where trend, participation and momentum are strongest or weakest across the 11 S&P 500 sectors.
How it is built
Within each sector, the model uses its S&P 500 constituent stocks. It weights average one-month return at 30%, average three-month return at 25%, the share above MA200 at 20%, the share above MA50 at 15%, and the recent slope of one-month return at 10%. A score of 50 is neutral.
How to use it
Compare sectors and follow changes through time. A high but falling score can mean leadership is tiring; a lower but rising score can identify improving participation. It is a relative research measure, not a recommendation to buy a sector.
06
McClellan Oscillator
A short-term breadth-momentum measure calculated here from net advancing S&P 500 constituents: the 19-session exponential average minus the 39-session exponential average.
How to use it
Readings above zero mean breadth momentum is positive; readings below zero mean it is negative. Direction matters too: a deeply negative oscillator that turns upward can show selling pressure easing, while a positive oscillator rolling over can show participation losing momentum. Extreme readings are context, not automatic reversal signals.
07
High-Low Index
For S&P 500 constituents, this is the 10-session average of new 52-week highs divided by new highs plus new lows, expressed from 0 to 100.
How to use it
Above 50 means new highs are dominating; below 50 means new lows are dominating. Persistent readings are more informative than a single day. Compare the index with price: rising prices paired with a falling High-Low Index can signal narrowing leadership.
08
Zweig Breadth Thrust
A 10-session exponential average of the share of advancing S&P 500 constituents. It measures whether participation is weak, ordinary, or surging broadly across the stock universe.
How to use it
Below 0.40 marks weak participation in this model. A classic thrust event occurs when the measure moves from below 0.40 to above 0.615 within 10 sessions—a rapid shift from broad weakness to broad buying. Such an event can support a constructive regime interpretation, but it is rare and is not a guarantee of immediate gains. Use it with trend, regime and risk evidence rather than as a stand-alone entry signal.
09
Advance/Decline line
A cumulative total of advancing S&P 500 constituents minus declining S&P 500 constituents, using Stock Inspector’s consistent daily classification.
How to use it
The absolute level matters less than its slope and relationship to the S&P 500 index. A rising line shows broad participation; a falling line shows more constituents weakening. If the index makes new highs while the A/D line fails to confirm, leadership may be narrowing. Divergence is a warning to investigate, not a timing signal by itself.