Breadth health score
A composite breadth indicator that asks how many constituents are participating in an index move. Rolls up advance-decline, new-high / new-low, percent above moving averages, and McClellan-style oscillators into a single 0-100 score.
Composite breadth score = mean(percentile rank of each breadth sub-component over the lookback)Breadth is the question of whether index returns are being delivered by a broad cohort of constituents or by a narrow leadership group. Narrow breadth — where a small handful of mega-caps drive the index while the median constituent drifts sideways or lower — is one of the most reliable late-cycle markers in the historical record. The breadth health score normalizes four sub-components to percentile rank over a multi-year lookback and equal-weights them into a composite: cumulative advance-decline line slope, new-52-week-high minus new-52-week-low count, percent of constituents above their 200-day moving average, and a McClellan-style smoothed oscillator. Equal weights again: weighting by recency back-fits. The score is published with a band classification (healthy / caution / unhealthy) and is the first sub-component to deteriorate before a typical regime change. The model does not predict drawdowns. It tells you whether the next leg of an index rally is being supported by a broad base or by a thinning leadership group, which materially changes how aggressively new positions should be sized.