Levy Dispersion Update

I watch $OEXA200R on Stockcharts, which says that 74 of the S&P 100 are trading above their respective 200 day moving averages.  It is generally considered a bad idea to go long when this figure is below 65, or in a downtrend.  The full method is here, thanks to John Carlucci.

I also compute a related statistic, which says that 60% of the S&P 500 are trading above their SMA(131).  Being broader, smoothed, and using a shorter average, this statistic may react faster than $OEXA200R.  The calculation is here.

Levy FebThe advantage of doing it this way is that you can see the central tendency of the 500 stocks.  The vertical axis shows individual stocks, of the 500, not a percentage.

This month, the mode is bang on 1.0, which is weaker than last month.  The mean has fallen from 1.06 to 1.02.  As we proceed into the correction, I would expect the median to fall below 1.0, meaning that half are trading below the moving average.

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