Within the Commodities section of the web site, breadth indicators are reached through the ’Indicators’ - ’Commodities Breadth’ menu.
We have categorised commodities into six groups: Energies, Precious Metals, Industrial Metals, Meats, Grains, Softs. We have breadth indicators for these and the following groups.
All Metals (4 precious and 6 industrial)
All Agricultural (8 grain and 6 other)
CRB Commodities Index (19 components)
Broad Commodities (37 components)
Data used for breadth calculations
Although in the ’Charts’ section of the site, there are multiple versions of a commodity (different contracts, expiry months, continuation charts), for breadth calculation, we only want one price series for each commodity. In most cases, these are 1st month continuation charts. These have the advantage of having a long history, unlike individual contract charts.
Although the prices on continuation charts are not equal to the spot price at the time, this does not matter. What we are interested in is when the turns in price occurred for each commodity. Taken together, these turns comprise the breadth indicator for that group.
The constituents can be seen within each group using the ’See Constituents’ command.
The breadth indicators
There are four breadth indicators on the web site. These are:
- Bullish %: This shows the percentage of stocks in point and figure uptrends. Please note that this P&F status is derived from the ’Standard’ P&F chart, which is not a linear scale but an ’extended semi log scale’. This varies the box size with the range of prices. Details of this are found by clicking the blue question mark icon, below the breadth chart for a group (when that breadth chart is displayed as a P&F chart).
To see the P&F chart that each commodities’ signal is derived from, click ’See Constituents’ select the commodity, view it as a P&F chart, then click the ’Standard P&F Chart’ link below the chart.
- % Relative Strength: Each member of the group is plotted against the benchmark for this section of the web site, the CRB Index. These are plotted as ’Standard’ P&F charts, then the Relative Strength breadth is calculated from these charts. This should allow us to identify points of overextension for the six groups (listed above) within the commodity complex.
For example, the 100% relative uptrend breadth for Energies in September 2005 was an overbought reading, which was followed by a fall in the DJ Energy Index. A similar high reading lead to a fall in October 2004.
When applied to larger groups such as the CRB Index and Broad Commodities groups, this indicator will be less meaningful.
- %30 week ma & %10 week ma: For each component of a group, we work out whether the price is above or below the 30 week and 10 week (exponential) moving average. The %30 week indicator is slower moving and picks out overbought/sold levels in the medium term. The %10 week indicator is faster moving and can be useful in picking out short term peaks and troughs.