An index indicates where price traveled. Market breadth measures how many constituents participated in the move.
Cap-Weighting vs. Equal Participation
Most benchmark equity indices (such as the S&P 500 or Nasdaq 100) are market-capitalization weighted. In a cap-weighted index, a $4 trillion mega-cap technology firm carries significantly higher index influence than a $4 billion small-cap company.
Consequently, an index can record positive performance while a majority of its underlying stocks decline, a phenomenon hidden by headline index levels alone.
Market breadth removes weight adjustments by assigning exactly one vote per security:
Daily Market Breadth = Σ Direction Sign(Δ Closei)
The same three stocks under two methodologies. Cap-weighting can print a green index while equal-weight breadth is already bearish.
Building the Sample & Unchanged Securities
Breadth calculations isolate US common equities, filtering out ETFs, closed-end vehicles, real estate investment trusts (REITs), and preferred instruments to prevent double-counting.
Stocks Measured (N): ~3,400 US common stocks (rebuilt daily based on active listings).
Advancers (A): Securities where Closet > Closet−1.
Decliners (D): Securities where Closet < Closet−1.
Unchanged (U): Securities where Closet = Closet−1.
Trailing k-Day A/D Ratio = (Σ At) ÷ (Σ Dt) over t = 1…k
A/D Ratio > 1.0: Net positive market participation (more stocks advancing than declining).
A/D Ratio < 1.0: Net negative market participation (more stocks declining than advancing).
Evaluating Context with Percentile Rankings
Raw counts vary across market regimes. To convert absolute breadth metrics into actionable intelligence, each raw output is evaluated against its stored historical distribution using a percentile rank:
PR = (L + (0.5 × S)) ÷ Stotal × 100
L = sessions with a lower value; S = sessions equal to the current reading; Stotal = total stored sessions.
Reference Point
Advancing Share
Weakest Session
16.0%
July 20, 2026 (13th Percentile)
32.4%
Median Session
51.2%
Strongest Session
84.4%
Historical Distribution of Advancing Share (92 Stored Sessions Sample)
Interpreting Percentiles
A raw Advancing Share of 32.4% becomes meaningful when evaluated against historical data: sitting at the 13th percentile confirms that only 1 out of every 8 historical sessions exhibited weaker breadth performance.
Chapter 3
Divergence: All Stocks vs. S&P 500
The dashboard provides a global toggle between two sets of stocks: All Stocks (~3,400 securities) and S&P 500 (~500 securities).
How the Two Sets Differ
All Stocks: Represents broader market structure (Small, Mid, and Large Cap equities). High sensitivity to institutional risk sentiment.
While both sets often agree on overall market direction on a given day, they exhibit distinct volatility behaviors due to market capitalization differences.
The Small-Cap Volatility Effect: Smaller capitalization stocks experience larger average price swings. Across shared sessions, over a quarter (27.2%) of the All Stocks set moves by ≥ 3% on an average day, compared to only 15.7% of S&P 500 constituents.
Context-Driven Filtering:
Use All Stocks to measure broad economic market participation and macro liquidity shifts.
Use S&P 500 to evaluate participation relative to large-cap equity index benchmarks.
Below the snapshot panel, dual charts illustrate participation dynamics: the A/D Ratio Tracking Chart and the Cumulative Breadth Divergence Chart.
Cumulative Advance-Decline Line Formula
The Cumulative Breadth line tracks running net participation over time:
Net Breadtht = At − Dt
Cumulative A/D Linet = Cumulative A/D Linet−1 + Net Breadtht
Cumulative High/Low Linet = Cumulative High/Low Linet−1 + (New Highst − New Lowst)
The index continues higher while cumulative breadth rolls over. That split is a bearish breadth divergence: a narrowing advance.
Identifying Breadth Divergences
Cumulative breadth measures total participation momentum rather than absolute stock prices. Comparing its slope to benchmark price indices highlights underlying market health:
Confirmed Bullish Expansion: Both the benchmark index and the Cumulative A/D Line make consecutive higher highs. This confirms broad participation across market sectors.
Bearish Breadth Divergence: The benchmark index makes a new high while the Cumulative A/D Line flattens or forms lower highs. This indicates a narrowing advance, where fewer large-cap stocks are driving index gains while the broader market weakens.
Divergence Timing Warning
Breadth divergences indicate underlying participation health, not explicit timing signals. Bearish divergences can persist for extended periods before price index reversals occur.
Chapter 5
Daily History Table & Extreme Breadth Flags
The daily history table provides a row-by-row log of recorded trading sessions, incorporating move-size breakdown metrics and extreme participation tags.
Date
Advancers
Decliners
A/D Ratio
Net Breadth
Adv %
Tag Signal
20-Jul-2026
1,111
2,279
0.487
−1,168
32.4%
Standard Session
15-Jul-2026
2,810
540
5.203
+2,270
82.0%
THRUST (≥80% Adv)
02-Jun-2026
410
2,950
0.139
−2,540
12.0%
WASHOUT (≤20% Adv)
Daily Breadth History Log (Sample Excerpt)
Extreme Participation Flags: Thrust & Washout
Extreme breadth events occur when market participation becomes unified across sectors:
Super Thrust / Super Washout: Triggered when participation crosses the 90% boundary in either direction.
Statistical Sample Warning on Extreme Tags
Across 92 recorded sessions, dataset history captured only 2 Thrust days and 3 Washout days. Because these events are rare, they represent isolated historical observations rather than large statistical samples. Treat extreme flags as regime context markers rather than standalone mechanical trade triggers.
Granular Move-Size Breakdown
Expanding any daily log row displays the constituent move-size distribution across multiple threshold buckets:
Threshold buckets (±3%, ±5%, ±10%) are cumulative. A stock that advances +12% is recorded in the ≥ 3%, ≥ 5%, and ≥ 10% buckets simultaneously, helping analysts spot days with outsized tail volatility.