If what you want is the NH-NL data for the individual securities in the index, the simplest solution would be to get the FIRE addon.

It's possible the NHNL data is available, but you haven't found its symbol. The Reuters support people don't always have things on the tip of their tongue, either...hard to believe the data ain't out there.

FWIW, on the PLUS side, the FIRE addon will do what you want, plus a lot more. It's a separate program, but you can automate it using Windows' "Schedule Tasks" to run after your usual downloads are done; I set it to about 20 minutes later. You have to wait that 20 min. plus a few for the calculation, but the data is instantly available.

An alternative would be to create an custom indicator which tallys the data; you'd have to use multiple indicators, then use FML to call them from one "master" indicator. If your system is older, this can take a moment to load. Not too bad on a Quad-Core, but it ain't lightning...<g>.

On the MINUS side, there are disadvantages to both methods:

1. Aside from possible slowness, with the multiple indicator method you must maintain the custom SECURITY calls manually.
2. With FIRE, it will tally everything in a folder, but the history changes when the FTSE 100 list in that folder changes -- this introduces an additional backtesting bias.

Using FIRE, however, takes the least effort and time. Rough guesstimate is to subtract 2% from return to account for bias...