Step Sum study of Nifty : 2019

Step Sum is in the form of a new technical tool to evaluate the psychology of the market. It has been developed by Mark Lundeen and it offers a unique insight into the psychology of the market. The step sum is simply a running total of UP vs. DOWN  days and it reflects trader psychology.

The step sum is a single item Advance – Decline Line. In other words; if Nifty is down from the previous day’s close, we give it a value of (-1), if they end the day up from the previous day’s close, we give it a value of (+1). So a step sum plot is merely the net sum of up and down market days over time.

Initially, step sum fluctuated in negative zone as Nifty dipped below 1000 (Arbitrarily set as OHLC available from 1^st November 1995) for considerable period & then remained in positive since PE August 2002; a graph is shared here in below:

There were seven occasions when Nifty showed Zero change over the previous day’s closing & listed below : 

A Chart of Nifty Close-StepSum (on ‘end of month’ basis) is shared below: 

Next is a Chart (on ‘end of Year’ basis) is shared below:

 “15 Count” is  running sum of the daily step used in constructing their step sum over consecutive 15 days. As for example,
 “Count +/-  13”  means 14 up (down) & 1 Down(up),
“Count +/-  11”  means 13 up (down) & 2 Down(up),
“Count +/-  9”  means 12 up (down) & 3 Down(up),
and so on
“Count +/-  1”  means 8 up (down) & 7 Down(up)
Now I am trying to measure the "Quality aspect" of Step sum with a simple logic & mathematics ; simply stated here is a plan to quantify the sum of all 'Count of 15' over a period of calendar year. First refer to the Table :

Table is based on OHLC data sourced from NSE site. Step sum were calculated on daily basis, thereafter, 'Count of 15' were generated by excel (by adding step up or step down days over 15 days). Thereafter, total number of occasions for diverse Cnt_15 are tabulated in the Table.

Note there had been 7 cases of 'no change' in closing Nifty , resulting in 0 change in Step Sum; consequently 'Count of 15' were rendered even numbers ; such cases were added to nearest odd number (e.g., 2 were counted with 1, 4 with 3, etc)

Z (Sigma) = Net weighted Count_15 for the Year =

 Summation over the year of  [ (Number of count) X (Value of Cnt) ]  for full range of  available Cnt  { from 15 to minus 15 } with the help of Template shared below :

A Chart showing correlation of the derived value for Z (Sigma) with year-end incremental value for Step Sum is shared below:

Ratio is found to be Median value of 1.80 & Average value of 2.50 even though broad range is wide from peak of 4.20 to low of 0.62.

Nifty : Step Sum Analysis 2019

With out explanation as http://lalitlk-lalit-lk.blogspot.in/2016/09/analysis-of-nifty-with-step-sum.html  amply cover, let me put up a Nifty Step Sum chart for 5 years 8 months ending on 30^th August 2019 :

Quoting from earlier blog

"Step Sum is in the form of a new technical tool to evaluate the psychology of the market. It has been developed by Mark Lundeen and it offers a unique insight into the psychology of the market.The step sum is a single item Advance – Decline Line. In other words; if Nifty is down from the previous day’s close, we give it a value of (-1), if they end the day up from the previous day’s close, we give it a value of (+1). So a step sum plot is merely the net sum of up and down market days over time."

 

Notice that starting 3rd November 1995, Nifty Index had a closing of 1000. For considerable time, we find the Step sum being in Negative & had first positive value of 3 in month ended 29th February 2000 ; when Nifty had 540 number of "Up" (with aggregate of  7795.31 in rise) over 537 number of "Down" (with aggregate of 7140.51 in fall) , resulting in a close at 1654.80.

 

Nifty had been moving like an irregular Pendulum as shown diagrammatically below :  

 

2779 "Down" net of 2779 "UP" moves caused a fall of 2779* (38.22 - 36.97), i.e., minus 3471.06 ; however, overall (3144 - 2779) , i.e., 365 "UP" moves gave a rise of 365 * 36.97, i.e., 13494.31 leading to over all rise over initial 1000 of (10023.25 + 1000) = 11023.25 as on 30th August 2019. 

 

Nifty : BiMonthly chart with MACD (5,34,5) aka EWO as on June 2019

Monday 22nd July 2019.

Nifty Index is being compiled since 02/07/1990 ; as such, a Time Frame of Bi-Monthly (Open, High, Low & Close over a period of two months for the Index) cover the full range of the Index since inception (in log Scale ) :

The most revealing fact is that Index is very bullish since inception with
 (1) positive Macd - implying EMA(5) is greater than EMA(34) - being in almost 82% time  (116 candles out of 141 being in POSITIVE) ;

, (2)  Macd topped at 2108 in the previous candle while Nifty was 6357 & remains all time high ,
  (3) Macd cross down zero line with Nifty subsequent  to a low of 2253 and finally
  (4) march of positive MACD is in progress counting 60th candle (i.e., 10 years continously)

My understanding of EWO suggested that :-
big W= 6357 - 279 = 6078,
followed by retracement by67.5 leading to X = 6357-2253 = 4104 and
presently in progress Y = 12103 - 2253 = 9850 , just a point above 161.8 of W .(1.62 with standard deviation statistically)

Table of DATA in #TF34DaysCycle and #TF55DaysCycle confirms the conclusion of #TFBi-Monthly in general save & except in case of #TF55DaysCycle there was NO ZeroLine even when dip to 2253 occured. 

BSE Sensex : A Study in Time Frame of 55 Days with MACD (5,34,5) aka ElliotWave Oscillator

BSE Sensex Index is being compiled since 3rd April 1979 on closing basis and from 2nd January 1991 on OHLC basis ; as such, a Time Frame of 55 DaysCycle  (Open, High, Low & Close over a period of 55 days for the Index) cover the full range of the Index since inception  in 168 candles . With first 34 candles being used to create appropriate EMA's , the Elliot Wave Oscillators are being made for a proper study of Sensex Index. Chart in   (in log Scale ) :

 

A chart with full range of Data follows: 

 

Some swing value with selected Macd's are tabulated for ready reference :