3DMA % Declining Issues (Diodato 2019)

Description:
This script is a faithful implementation of the "3-DMA % Declining Issues" indicator from Chris Diodato's 2019 CMT paper, "Making The Most Of Panic." It is a simple but highly effective short-term panic meter based on market breadth.

What It Is
This indicator first calculates the percentage of total traded issues on the NYSE that were decliners for that day. It then plots a 3-day simple moving average of that percentage. The result is a 0-100 scale indicator that provides a clear visual of the intensity of recent, widespread selling pressure.

How to Interpret
Unlike a typical "oversold" oscillator where low is a signal, with this indicator, a high value indicates panic.

Panic Spikes: A sharp spike upward suggests that a very large portion of the market is selling off simultaneously. The paper found that when this indicator exceeded 65%, 70%, or 75%, it often marked a point of extreme short-term panic that presented a buying opportunity.

Panic Threshold: The script includes a customizable "Panic Threshold" line (defaulting to 65) to help you instantly spot these events.

Settings
Data Sources: Allows toggling the use of "Unchanged" issues data.

Thresholds: You can set the "Panic Threshold" line to your preferred level (e.g., 65, 70, 75).