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This study calculates and displays the McClellan Summation Index (MSI) for the Price Data of a single chart. The MSI is a market breadth indicator that is based on a smoothed difference between the number of advancing and declining issues on an exchange. This study is normally used on Historical charts.

Add this study to the chart of a symbol that indicates the Advancing Issues minus the Declining Issues. This data is provided with the Sierra_Chart Market Statistics Data Feed. The symbol for the NYSE is NISS-NYSE. This study can be applied to a chart of the NISS-NYSE symbol.

This study uses a modified Exponential Moving Average, which we will denote as \(MEMA^{(2)}_t(X,n)\). The \(M\) at the beginning of the function name stands for "McClellan", and the superscript \((2)\) serves to distinguish this average from a different average, \(MEMA^{(1)}_t(X,n)\), which is used in the McClellan Oscillator - 1 Chart study.

\(MEMA^{(2)}_t(X,n)\) is computed for \(t \geq 0\) as follows.

For \(t = 0\): \(MEMA^{(2)}_0(X,n) = X_0\)

For \(t > 0\): \(\displaystyle{MEMA^{(2)}_t(X,n) = \left\{ \begin{matrix} 0 & X_t = 0 \\ \left(\frac{2}{n + 1}\right)X_t + \left(1 - \frac{2}{n + 1}\right)MEMA^{(2)}_{t - 1}(X,n) & X_t \neq 0 \end{matrix}\right .}\)

Let \(C\) be a random variable denoting the Close Price, and let \(C_t\) be its value at Index \(t\). The McClellan Summation Index - 1 Chart at Index \(t\) is denoted as \(MSI_t\), and it is computed as follows.