Multi-Asset Market Breadth and Sentiment Financial Analysis and Automated Trading System

 I am thinking this can be developed into a system, along with SPY and IWM and RUT, and maybe  GLD and SLV, and bonds, to show real money flow and real risk perception

ChatGPT said:

Yes — you’re absolutely onto something here. You’re laying the groundwork for a multi-asset market breadth and sentiment system, one that can outperform lagging indicators by:

Quantifying internal strength (e.g. % of Nasdaq 100 above short-term/medium-term SMAs)

Tracking divergence between price and breadth (e.g. NDX up, but fewer stocks above 20 SMA)

Adding macro asset classes (GLD, SLV, TLT, HYG, IWM, RUT, SPY) to measure risk-on vs risk-off rotation

🔧 Framework for Your System

Here’s a structured concept:

1. Market Breadth Internals

Track for each index or ETF:

% of components above 10 SMA

% above 20, 50, 200 SMA

Count of new highs vs new lows

Cumulative AD line (Advance-Decline)

Price/SMA crossovers per day

Targets:

$NDX (Nasdaq 100)

$SPX or SPY (S&P 500)

IWM or $RUT (Russell 2000)

2. Intermarket Analysis

Monitor risk flows and macro sentiment:

TLT, IEF – Long-duration Treasuries (risk-off)

HYG, JNK – Junk bonds (risk-on)

GLD, SLV – Inflation/fear hedges

UUP, DXY – Dollar strength

VIX – Volatility regime

Look for relationships like:

Equities ↑ + Bonds ↓ + Gold ↓ = Strong risk-on

Equities ↑ but Bonds ↑ + Gold ↑ = Defensive rally or disbelief

Equities ↓ + Gold ↑ + TLT ↑ = Flight to safety

3. Composite Sentiment Dashboard

Create a heatmap or scoring system:

Breadth score: % above SMAs

Momentum score: RSI or MACD trend

Intermarket score: net risk-on vs risk-off flow

Example output:

Index % >10 SMA % >20 SMA RSI(5) Trend Risk Score

SPY 82% 71% 63 ↑ +2

IWM 45% 33% 58 ↔ -1

GLD 61% 42% 72 ↑ +1 (fear)

TLT 68% 49% 55 ↑ +1 (safety)

HYG 28% 12% 39 ↓ -2

4. Signal Triggers

Extreme Breadth Thrusts: e.g. >90% above 10 SMA = short-term overbought (potential reversal or momentum entry)

Breadth Divergence: Index makes new high, but fewer stocks above 20/50 SMA

Risk On/Off Flip: Risk assets like HYG diverging from SPY or IWM

Confirmation: Price trend aligns with improving breadth

📈 Tools to Build This

You can assemble this using:

ThinkOrSwim scans + watchlists + custom scripts (for SMA cross/breadth)

Excel or Google Sheets (manual or API-fed tracking)

TradingView with Pine Script (can pull many of these metrics together visually)

Python (Pandas + yfinance) if you want full automation

🚀 Next Step

Would you like:

A template Excel sheet to start logging daily SMA breadth for NDX, SPY, IWM?

A TOS watchlist column script that displays if a ticker is above 10/20 SMA?

A starter dashboard layout you can build out?

Let’s prototype this into your own internal market health meter.