As a consequence of our developing an “Early Warning Service for Stocks”
[ http://www.measuredmarkets.com ] we created a some measures of total market behaviour, referred to as M2NDXs.

Before elaborating upon what these creatures are, some comments to pass on regarding Indices and Market Averages.

The capitalization factor biases many of the well-publicised indices/averages. I cite the NYSE Index and the S&P series. Influenced by the number of shares outstanding the numbers reported each day are consequently distorted. Not all the outstanding shares trade each day [being ‘located' in mattresses, safety deposit boxes, buried in gardens and such!] so a stock with a large number of shares issued but that trades lightly weighs heavily in the index/average over a much traded stock that has relatively few shares outstanding. So I claim that these indices/averages do not present a true picture of what is going on from day to day.

The Human Factor: apples compared to kiwi fruit.
Human input decides for many indices/averages what stocks are to be included. So over time the comparison of an established index/average with its history is actually misleading.

What instruments are included?
For the purist, common stocks alone matter. Preferreds, rights, warrants, and split shares with limited life spans are significantly different.

So what are the M2NDXs?
An end-of-day measure of the average price of all common equities traded on the covered exchange, with a separate measure for average volume and another for average number of trades. We believe that this is a much fairer presentation of what happened on a particular market each day. Quite often our M2NDXs differ in direction from the better known indicators.
Our use of the ‘number of trades/transactions’ data is unusual and it is very often the most intriguing item when individual stocks are signaled as showing deviant behaviour.