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McClellan oscillator

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The McClellan Oscillator a market breadth indicator used by financial analysts of the New York Stock Exchange to generally indicate the rate of money entering or leaving the market and interpretively indicate overbought or oversold conditions of the market. Developed by Sherman and Marian McClellan in 1969, the Oscillator is computed using the exponential moving average (EMA) of the daily ordinal difference of advancing issues (stocks which gained in value) from declining issues (stocks which fell in value) over 39 trading day and 19 trading day periods. The simplified formula for determining the Oscillator is:

Oscillator = (19-day EMA of Advances minus Declines) - (39-day EMA of Advances minus Declines)

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