Dow Jones Institutional [MarkitTick]💡 This indicator provides a self-contained, institutional-grade market breadth suite specifically engineered for the Dow Jones Industrial Average. By directly computing the aggregate data of 30 component stocks, it delivers highly accurate internal market health metrics without relying on delayed or third-party breadth indices. It calculates five foundational market metrics dynamically, plotting them alongside an automated statistical dashboard and real-time divergence detection.
✨ Originality and Utility
● Self-Contained Breadth Engine
Standard market breadth indicators often require external data feeds that may not be available across all brokerages or may suffer from latency. This tool is highly original because it loops through the exact 30 components of the Dow Jones, applying predefined institutional weightings to construct its own proprietary data feed.
● Multi-Dimensional Metric Suite
Instead of cluttering the chart with multiple scripts, this tool consolidates five crucial breadth measurements into a single, seamless interface. Users can instantly switch between absolute momentum, volume flow, and standard deviation models depending on their analytical needs.
● Strict Anti-Repainting Architecture
The script utilizes historical data offsets within its security requests to ensure that all signals, statistics, and divergences are firmly locked upon bar close. This prevents the common pitfall of repainting and provides a reliable foundation for objective analysis.
🔬 Methodology and Concepts
● The Internal Calculation Loop
The core of the indicator relies on a single-pass data loop that evaluates the previous closing price, previous volume, and the price change of all 30 Dow components. It categorizes each asset as advancing, declining, or unchanged, and tallies both their raw count and their associated volume and liquidity.
● Supported Market Metrics
Advance/Decline Line: A cumulative sum of the net difference between advancing and declining issues, offering a broad view of market participation.
McClellan Oscillator: Derived by subtracting a slow exponential moving average (EMA) of the daily advance/decline ratio from a fast EMA of the same ratio. This highlights short-term shifts in breadth momentum.
McClellan Z-Score (Inst): Applies a standard deviation transformation to the McClellan Oscillator over a lookback period, normalizing the data to highlight institutional overbought and oversold extremes.
Arms Index (TRIN): A volume-weighted breadth measurement calculated by dividing the Advance/Decline Ratio by the Advance/Decline Volume Ratio.
Cumulative Weighted Liquidity: Tracks the net monetary flow based on stock-specific weightings and closing prices, scaled down for readability.
● Divergence Engine
The script continuously compares the selected breadth metric against the actual Dow Jones Industrial Average index. Using pivot highs and lows, it detects both regular and hidden divergences, marking structural disconnects between market price and underlying participation.
🎨 Visual Guide
● Main Chart Elements
Main Series Line: The primary plotted line representing the selected metric (e.g., McClellan Z-Score). Its color is defined by the Main Value Color setting.
Moving Average: A smoothed line tracking the main series, offering a clearer view of the prevailing trend.
Institutional Bounds: When using the Z-Score mode, dashed lines appear at the +2.0 and -2.0 levels, marking statistical extremes.
● Divergence Markers
Regular Bullish Divergence: Displayed as a dashed line connecting pivot lows when the breadth metric is rising but the index is falling.
Hidden Bullish Divergence: Displayed as a dotted line when the breadth metric is falling but the index is making higher lows.
Regular Bearish Divergence: A dashed line on pivot highs marking falling breadth against rising index prices.
Hidden Bearish Divergence: A dotted line indicating rising breadth while the index trend remains structurally bearish.
● Statistical Dashboard
A dynamic table anchored to the bottom right of the chart provides real-time data on the current bar. It displays Advancing/Declining counts, Net Volume percentages, Total Liquidity, and the current TRIN value, color-coded based on positive or negative net flow.
📖 How to Use
● Trend Confirmation
Use the Advance/Decline Line or Cumulative Liquidity modes to confirm the primary trend. If the Dow Jones is reaching new highs but the A/D line is failing to follow suit, it signals poor participation and a potential impending reversal.
● Mean Reversion Trading
Switch to the McClellan Z-Score mode to identify exhaustion points. Readings extending beyond the +2.0 or -2.0 thresholds indicate that the market is statistically overextended. A cross back inside these bands can serve as a trigger for a mean-reversion setup, which is also supported by automated alerts.
● Divergence Trading
Monitor the automated divergence lines. A Regular Bullish Divergence printed at a significant support level on the index provides a high-probability indication that underlying buying pressure is accumulating, even as the visible price continues to drop.
⚙️ Inputs and Settings
● General Settings
Select Metric: The dropdown menu allowing you to choose which breadth calculation to display.
● Timeframe Configuration
Enable Automatic Timeframe Configuration: When enabled, the script dynamically adjusts the moving average and EMA lengths based on whether you are viewing an intraday, daily, or weekly chart.
● Manual Overrides
MA Length: Defines the lookback for the secondary moving average.
McClellan Fast/Slow EMA: Adjusts the sensitivity of the McClellan calculations.
Z-Score Lookback: Determines the historical sample size used for the standard deviation calculation.
Divergence Pivot Size: Sets the strictness of the pivot high/low detection for divergence plotting.
● Visual Configuration
Allows complete customization of the colors used for the main line, moving averages, divergence lines, and dashboard text.
🔍 Deconstruction of the Underlying Scientific and Academic Framework
● Market Breadth Theory
The script is fundamentally rooted in the academic premise of market breadth, which posits that a healthy market trend must be supported by the majority of its constituent assets. If a major index is driven by a small handful of heavily weighted stocks while the majority decline, the structural integrity of the trend is compromised.
● Standard Deviation and Z-Score Normalization
By applying a Z-Score transformation to the McClellan Oscillator, the indicator utilizes statistical normalization. The Z-Score calculates the number of standard deviations a data point is from the mean. In financial modeling, a Z-score beyond 2.0 or -2.0 encompasses roughly 95% of the data distribution, meaning instances outside these bounds represent significant anomalies or extreme institutional imbalances.
● Volume-Weighted Price Analysis
The inclusion of the Arms Index (TRIN) and Cumulative Weighted Liquidity introduces volume as a confirming variable. Academic research indicates that price movements supported by expanding volume carry higher validity. By comparing the ratio of advancing/declining issues to their respective volume flows, the script filters out low-conviction market noise.
⚠️ Disclaimer
All provided scripts and indicators are strictly for educational exploration and must not be interpreted as financial advice or a recommendation to execute trades. I expressly disclaim all liability for any financial losses or damages that may result, directly or indirectly, from the reliance on or application of these tools. Market participation carries inherent risk where past performance never guarantees future returns, leaving all investment decisions and due diligence solely at your own discretion.
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