Nasdaq McClellan Oscillator
100 washouts since 2005 on the Nasdaq-100 proxy: QQQ higher a month later 70% of the time against 66% for any day, with the month's low a median 2.1% below the crossing.
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A ratio-adjusted McClellan Oscillator rebuilt on the Nasdaq-100 constituents as a proxy for $NAMO, with QQQ measured from four moments on the same advance/decline series: the crossing into the oversold band, the crossing back out, a MACD-of-oscillator trough turning up, and a Zweig-style breadth thrust. The band is a percentile of the proxy's own history because a 100-name basket swings wider than the 3,000-issue exchange. Every figure is shown against the unconditional QQQ base rate for the same horizon, and the washout table reports how much further QQQ typically fell in the month after the crossing. Today's constituents only, so history is flattered.
- 100 signals since 2004-01-01.
- 100 washouts since 2005 on the Nasdaq-100 proxy: QQQ higher a month later 70% of the time against 66% for any day, with the month's low a median 2.1% below the crossing.
When to run this study
Run when the Nasdaq is selling off and the question is whether the breadth washout is far enough along to buy. Four moments are measured on the same proxy series: the crossing into the oversold band, the crossing back out, a MACD-of-oscillator trough turning up, and a Zweig-style thrust. The washout table also shows how much further QQQ typically fell after the crossing, so the entry can be sized rather than guessed. Context, with the usual caveat that a survivorship-biased basket flatters history.
Historical results
QQQ after each setup, against any day (2005–2026, 107 names)
| Setup | Horizon | N | Median | Positive | Any day: median | Any day: positive | Edge (pts) |
|---|---|---|---|---|---|---|---|
| Any day | 1W | 0.55 | 59.40 | ||||
| Any day | 1M | 1.89 | 66 | ||||
| Any day | 3M | 4.93 | 73.70 | ||||
| Any day | 6M | 10.06 | 79.50 | ||||
| Into the oversold band | 1W | 100 | 1.08 | 68 | 0.55 | 59.40 | 8.60 |
| Into the oversold band | 1M | 100 | 3.01 | 70 | 1.89 | 66 | 4 |
| Into the oversold band | 3M | 100 | 6.89 | 75 | 4.93 | 73.70 | 1.30 |
| Into the oversold band | 6M | 100 | 13.06 | 81 | 10.06 | 79.50 | 1.50 |
| Back out of the band | 1W | 99 | 0.52 | 57 | 0.55 | 59.40 | -2.80 |
| Back out of the band | 1M | 99 | 2.75 | 74 | 1.89 | 66 | 7.70 |
| Back out of the band | 3M | 99 | 7.21 | 75 | 4.93 | 73.70 | 1 |
| Back out of the band | 6M | 99 | 12.30 | 82 | 10.06 | 79.50 | 2.30 |
| MACD trough turns up | 1W | 55 | 0.67 | 58 | 0.55 | 59.40 | -1.20 |
| MACD trough turns up | 1M | 55 | 3.68 | 67 | 1.89 | 66 | 1.30 |
| MACD trough turns up | 3M | 55 | 6.89 | 76 | 4.93 | 73.70 | 2.70 |
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