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grems8544
09-29-2011, 07:52 AM
Since I'm becoming increasingly enamored with Billy's tick concepts, and since they have very little to do with GGT, I'm starting this thread here so to keep the tick system and GGT systems separate...

===============

Wednesday was a good day if you follow the intraday tick patterns. I especially like TradeStation's $TIKRL, which is the Russell 2K:

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I entered a base short position in IWM shortly after the open, alongside another leveraged position in TZA (not shown), and it was off to the races. I jumped the gun a bit but I saw the TIKRL jump up then promptly reverse, giving me confidence to move into the markets on the short side.

The vertical line corresponds to the 10h MA slope change to the opposing side -- in this case to the downside, so by 10:45 I had further confidence to add to the positions (both -IWM and +TZA). As you can see, the rest of the day was a good day.

I closed all but 100sh of -IWM and +TZA a minute before the close as the markets sold off; depending on today's action I may add to the base positions or I may simply take the remaining profits off the table. We'll see.

The broader $TICK pattern whipsawed then moved aggressively lower on Wednesday, effectively resetting any bullish up leg interpretation:

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You can see the extreme selling with the 500 stock / min filter in the middle pane -- this filter is a great way to separate the noise from the real trend and has worked well for me as of late. With all of the slopes of the various tick MAs pointing downward there is no doubt that we are under bearish pressure, despite the futures being up as I write.

The $TIKSP, which tracks the issues in the S&P500, was far more volatile yesterday and I stayed away:

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While the slopes of the various MAs are all pointing downward it's important to note that the attempt at buying which started around 2 pm EDT and which lasted an hour would have really challenged you. We did not have a corresponding rally in the other markets in the 2 pm - 3 pm time frame so the buying here was not a reversal. I personally think it was people loading up on dividend paying stocks in anticipation of the end of the quarter, but it's hard to tell for sure. At any rate, I avoided any dabbling in the S&P due to the underperformance relative to the R2K ...

Futures are giving up some of their gains as I write, so it most likely will be another psycho day.

Regards,

pgd

nickola.pazderic
09-29-2011, 09:27 AM
Here are some of my own:

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I utilize this four part screen (hat tip to the shadow trader) to measure breadth, A/D, NYSE tick, and IWM on 15 minute scales.

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this is a chart of 30 minute NYSE Tick. I keep it in the background-- a ghostly presence.

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NYSE and NASDAQ Tick Charts, courtesy of Ernst

I'll definitely look to take new positions in IWM-related robotic trades today. 66.88 is only .07 away as I send this off.

Thanks Paul!

grems8544
09-30-2011, 08:35 AM
From a broad perspective, the buying algos turned on around 15:22 EDT and didn't let up through settlement at 16:15:

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Note the steady reversal of the cumulative tick patterns in the middle and lower panes. Despite futures being down as I write this I'm watching for a penetration of the 10d cumulative tick MA from below as well as any form of slope change of the 10d MA (right now the 10d MA slope is down but becoming less so pronounced as the cumulative tick moves upward).

The Russell 2K small cap cumulative tick cleared the 1d MA without looking back, which nearly reversed the entire drop for the day:

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Given that I will not be at my PC at market open this morning, and that the VIX is still way above 30, I decided to close my short IWM positions, as well as my long TZA positions at the close to lock in those gains. I can always get back in on the short side if warranted.

Somewhat ominous for the bears is that there was significant strength in the S&P500 yesterday, with the cumulative tick taking out the 10h MA from below.

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This is a bullish sign that can be interpreted various ways:

End of Month/Quarter window dressing in the relative "safety" of dividend paying stocks
Movement to lower beta positions in advance of an anticipated (continued) down draft
Methodology to employ capital where yields are higher than Treasuries

Supporting the end-of-day move was a reversal of sorts in terms of LEV into the SPY:

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Note how the general down-draft in the most-liquid-ETF-on-the-face-of-the-planet reversed in the last 35 minutes .... Time to pay attention.

===============

My plan today with respect to the tick methodology is to


Watch for a crossing from below on the $TIKRL (Russell 2K) small caps of the 10d cumulative tick MA
Watch for confirmation across $TIKSP, $TIKQ, and $TICK of the same ($TIKSP is already there -- will it hold?)
Enter base positions on the LONG side (SPY, IWM, QQQ) if momentum causes an inflection point in the slope of the 10h MA on each of the different indices.


I'll miss the first hour or so of the market this morning ....

Harry
09-30-2011, 10:09 AM
Thanks Paul,

I am glad you decided to set up a separate thread for tick interpretation.

I am following with great interest as next month I plan to get back to backtesting. My plan is to try the tips both you and Billy have provided to see if I can develop a profitable strategy? I'll be using both Matlab and TOS, so I won't have the Russell or other indicators available via Tradestation. None the less, I am following your posts so thanks in advance.

Harry

grems8544
09-30-2011, 10:25 AM
I'll be using both Matlab and TOS...

I too use Matlab for all my GGT work (2 production machines running 24/7, 1 devel machine), so let me know if I can be of assistance.

Regards,

pgd

Harry
09-30-2011, 11:55 AM
I suspected so looking at some of your historic plots. I appreciate the offer and will be back in touch when I get to start my testing in a few weeks.

grems8544
10-04-2011, 08:36 AM
"The trend is our friend." Indeed.

Futures are down about -1% across the board, and in terms of the cumulative $TICK (or $TIKRL, $TIKSP, $TIKQ -- take your pick), there is little to suggest any hesitation to the selling that we saw yesterday.

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500 stocks/min-type selling started just after lunch and continued downward in an almost linear fashion throughout the afternoon, with only a slight pause at 14:00 EDT. We obviously sold off into (and after) the close, and the nervousness continues this morning.

If you're not short on the market (either by shorting or using a contra ETF), the rate of dropping here is largely unsustainable so I wouldn't jump in with both feet. You can see the impact of the rate of change of the selling -- the divergent spacing between the different length EMAs in the tick pattern shown in the bottom plot is spreading out as time advances, showing that we're falling faster intra-day than the length of the moving averages. This is important -- as long as the divergence continues to grow we can feel confidence in our short/contra positions, but when the change in the slopes start to abate and the lines become more horizontal, it's most likely time to take some profits off the table.

Read the GGT system status today (http://www.effectivevolume.com/showthread.php?3488-GGT-System-Status&p=17267#post17267), as well as Pascal's commentary on the 20d MF. We're back into single-digit % long stocks out of a database in excess of 2800 equities -- opportunistic buying on the long side here has generally worked for a short-term play in the past.

Regards,

pgd

grems8544
10-05-2011, 09:22 AM
Yesterday was a clear reversal day in terms of the individual markets -- SPX, R2K, NDX, but this behavior was not confirmed on the broader $TICK view:

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As with all my images, right-click on the figure to open in a new window or tab.

The presentation is shown in 6 windows within the workspace. Across the top, from left to right, is the SSO, IWM, and QQQ. Along the bottom are the indicators on the SPY/$TIKSP (SPX), IWM/$TIKRL (R2K), and QQQ/$TIKQ (NDX). You can see the "V" reversal which started around 15:00 EDT, and it is this type of reversal late in the day (up or down) that I've found is very powerful and sometimes signals a sea-change in sentiment.

In the lower panes you see a green line. This is Billy's suggested 10h MA on the cumulative tick, and historically, crossing over from below and closing above this value has been bullish in the short term. I note that the 10h MA on the SPX has actually changed slope whereas the R2K and NDX have not (but the R2K is closer to a change), so the buying algos were working harder on the SPX than on the others. Again, historically, when I look back in time, this has not been a great longer-term setup, as the R2K and technology typically lead off bottoms. Hence, I'm not overly optimistic for the longer term because of this imbalance.

Also causing me some pause here is that the broader $TICK indicator is no where near showing the strength of the narrower $TIKSP, $TIKRL, nor $TIKQ:

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Across the top I have TZA, which is a -3x inversed ETF on the Russell 2K. I exited early in the session when I saw TZA make a high, promptly reverse lower despite $TICK selling off, telling me the R2K was out of sync with the broader markets. Small caps have been hit hard in this recent down leg, so any divergence between the small caps and the larger markets is something not to play with leverage (in my opinion).

Somewhat ominous here is that the broader markets are not showing the strength -- the $TICK buying didn't take out the 1/2 MA, and until we see the participation here, nimble fingers are required...

Regards,

pgd

Riskslayer
10-05-2011, 11:45 AM
Paul,

Thanks for the explanation on your $TICK, etc. methods, and how I can blow up the charts so I can see them (eyes are going on me).

I look forward to your further updates!

Thanks,

Shawn

brrim
10-05-2011, 03:41 PM
Paul; I am very interested in setting up these charts. Can you point me to a post that indicates what explains looks like MA on the charts?
Thank you in advance.
Robert

grems8544
10-06-2011, 10:24 AM
Can you point me to a post that indicates what explains looks like MA on the charts?

Much of the setup is derived from Billy's published work in this forum as well as the VIT forum.

Basically, do the following:

1) establish a cumulative tick trace that is essentially an always-running accumulator. I use $TICK, which represents all the securities trading on the NYSE, $TIKSP, which is unique to TradeStation and represents the ticks of the S&P500, $TIKRL, which is also unique to TradeStation, and represents the ticks of the Russell 2000 small caps, and $TIKQ, which represents the ticks of the NDX-100.

2) Apply a simple moving average (SMA) that corresponds to 1/2 day in length. Hence, if you are on 1-min bars, this would be 195m.

3) Apply a SMA that corresponds to 1 day in length. This would be 390m

4) Apply a SMA that corresponds to 10h in length. This is 600m.

5) I take this further, and I also use 780 (2d), 1170 (3d), 1560 (4d), and 1950 (5d).

I also have another display that I am working on and will share that when it is finished. Basically, it is the slope of the MAs above, and it is FAR easier to see signals using slope than looking at the moving averages. In addition, I also am plotting the slope of the slope, so we can see the ebb/flow of momentum in the tick indicators, and initial backtesting has shown this to be interesting (but unfinished) and somewhat profitable work.

Regards,

pgd

EB
10-06-2011, 10:58 AM
I had experimented with a detrended presentation (4th subgraph) and like the slopes idea as well (5th, bottom).

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Here are the settings for both, respectively.

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grems8544
10-06-2011, 11:12 AM
I had experimented with a detrended presentation (4th subgraph) and like the slopes idea as well.

Hehehehehe, thanks Bob. I really appreciate all your help here, as your initial shorthand is what sparked my present work (indeed, I use your shorthand on all my displays, as you can see). The slope work lends itself to strategy development very well too, and I'm finding that the underlying asset on Data1, and Data2 = cum(MA($TICK)), Data3 --> $TIKSP, Data4 --> $TIKRL, and Data5 --> $TIKQ can provide additional confirmation. They also can take you out early, so still a work in progress.

My work as of late has concentrated on using the tick indicators to move in, and then timing the individual security with it's own behavior, e.g., much like how the GGT system is conceptualized. Contra ETFs, such as SDS, TWM, TZA, etc. are not faring all that well in backtesting, and I think this is because the primary trend has been up since March 2009. With the primary trend down now I'm getting PF ~ 1.5 or so, but the sample size is so small it's hard to draw valid (statistical) conclusions. I note that the distribution of returns is not Gaussian, so it's not a robust system as of today.

Work in progress....

Regards,

pgd

brrim
10-06-2011, 11:35 AM
Paul; Thank you. Exactly what I was looking for!
Robert

grems8544
10-07-2011, 10:15 AM
There is an interesting divergence setting up and in looking back through a year's data, I can't find a close duplicate, so time to watch it unfold.

Primarily, the $TICK indicator is strong:

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As with all my images, right click to open in a new tab or window.

The cumulative tick pattern on the bottom is showing the "bullish rollover" that a ribbon band gives -- the instantaneous cume tick is in white, and the moving averages are in various shades of light purple (shortest) to dark purple (longest). The green line is the 10h MA line.

Immediately evident is that the first "breech" of the previous down leg occurred when the cume tick crossed the 1/2d MA from below around 10 a.m. on 10/5. It had not done this in several days, so this was an initial confirmation that the previous trend was in jeopardy.

The second head's up was the crossing of the 1d MA from below which occurred around 11 a.m. on 10/5. Note that both the 1/2d and 1d slopes had started to point positive shortly thereafter, and if the previous end-of-day-reversal didn't close your short positions, some backtesting that I've done with this "failsafe" slope method suggests that these two limit the downside damage if you miss an exit. These are not good exits by themselves, but they do help.

We all were challenged when the cume tick line reversed and headed down -- the aforementioned slopes also reversed which is why these are not a great exit indicator by themselves.

Finally, around 14:00 on 10/5 the cume tick line crossed the 10d MA from below, tested it a few times shortly thereafter, and then it's been off to the races since.

Of all the tests I've done all week, signals based on the cume tick line are the most robust compared to $TIKSP, $TIKRL, and $TIKQ or $TIKND. Hence, you'll see me using this more going forward (thanks Billy!).

=====

The aforementioned divergence is present in the $TIKSP (S&P500) and $TIKRL (Russell 2K small caps):

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The SPX is on top and the R2K is on the bottom.

Note how the price of the SPX was steady or moving upward and it's cume $TIKSP pattern was dropping, causing the majority of the cume MAs to reverse too. Also note in the middle of the SPX pane the intra-day filter on the SPX showed clear selling pressure starting like clockwork at 14:30 EDT and price held relatively steady. I don't like steady prices on selling pressure -- this is churning -- and it shows great indecision.

The bottom figure is the Russell 2K and while we're clearly above the 10h MA (green), we seemed to have stabilized around noon and then experienced a slow drift down in selling pressure while prices remained more-or-less constant. This reversed around 15:30 pm, but it didn't give me the greatest confidence about the internals yesterday afternoon.

Consequently, I took 2/3 of my profits off the table at the end of the day, and while I'm glad I left 1/3 on the table, as I write this (10:15 am on 10/7), we're not moving much.

I'm keeping my eye on the ball to see if we stall here or inch higher. There's no reason to sell to lock profits, but I've not seen any compelling reason to enter new long positions either.

===============

Regards,

pgd

grems8544
10-13-2011, 09:11 AM
Overall, I think the markets are out of sync -- rationale is in my post here (http://www.effectivevolume.com/showthread.php?3488-GGT-System-Status&p=17642#post17642).

===========

Overall, the cumulative $TICK remains very strong:

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Note that:

1) the cumulative tick in the lower pane is constantly above all the moving averages
2) all the moving averages have a positive slope
3) all the moving averages are more-or-less constant-spaced, which means we do not have acceleration

I consider this an orderly movement upwards of the broader markets.

If we take a deeper dive into the SPX, R2K, and NDX, we see that the SPX is showing the most cumulative tick volatility, the R2K is less so but still volatile, and the NDX is impressively strong:

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The SPX ($TIKSP) is on top, the R2K ($TIKRL) in the middle, and the NDX ($TIKND) on the bottom.

My view of what we're seeing here is a rotation from the SPX into the Russell and technology stocks, and this bodes well overall despite being very overbought at this level.

In my spare time (ha!) I have been working on strategies to trade these cumulative signals, and the most stable, longer-term in-sample/out-of-sample consistency appears to be using the cumulative $TICK as the primary market trending entity and entry signal, with additions and exits from those positions determined/confirmed by behavior on the individual cumulative $TIKXX indicators. The individual cumulative $TIKXX indicators are incredibly more sensitive to news events than the $TICK, but they do fare better than simply relying on the $TICK for exits. A further path for exploration here that I'm working on is to use the $TICK for confirmation of entry and using the individual security for timing the exit. This has worked better with the leveraged instruments than the unleveraged underlying.

More (and official results) to follow as time allows.

With respect to the above charts, even though we're clearly due for a pullback, today (Thursday) will be the first indicator of such a pullback according to the cume tick displays. Right now they are all indicating bullishness, so the depth of the pullback, e.g., does the real-time cume tick cross certain MAs, will determine whether we should remain bullish or start transitioning to a bearish stance. In the present displays, there really is no overwhelming bearishness...

===============

Regards,

pgd

EB
10-13-2011, 11:40 AM
Paul, without getting into anything proprietary, could you share some of your methodology for in/out of sample testing? I know you've touched on this before with respect to testing EMAs. I'm more interested in your general approach to robust system testing.

grems8544
10-13-2011, 03:17 PM
Paul, without getting into anything proprietary, could you share some of your methodology for in/out of sample testing? I know you've touched on this before with respect to testing EMAs. I'm more interested in your general approach to robust system testing.

Yes. I'll write something up -- and I'll try to get it done next week since I'm home and have a bit more freedom. Backtesting correctly is a big issue and I think it's important to do it correctly (or at least, my *view* of correctness <grin>).

As an aside, I had dinner last night with several GGT/EV/HGSI followers and this topic came up there too, so it will be good to document some of that discussion with examples.

Regards,

pgd

EB
10-13-2011, 03:18 PM
Great...look forward to it.

Harry
10-19-2011, 01:06 PM
I too use Matlab for all my GGT work (2 production machines running 24/7, 1 devel machine), so let me know if I can be of assistance.

Regards,

pgd

Hi Paul,

Last week I sent you a PM regarding Matlab - didn't want to bore others with my entry level questions. Not sure if you are swamped or if the PM never came through? Anyway, figured I better check before I begin my backtesting.

Thanks,
Harry

grems8544
10-25-2011, 11:11 PM
I was away Tuesday morning from the PC so I was not able to pay attention to the $TICK patterns as I usually do during the normal day. Of course, life got interesting almost out of the starting blocks:

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As with all my images, right click on the figure to open in a new window or tab.

This is the cumulative $TICK, and the middle plot is a filtered 500 stock/min accumulator that only moves if there is strong buying/selling during that interval. We started moving down right away, which is unusual -- as we often wait until about 9:50 to see movement one way or another. This is a generalization and is not to be taken as gospel.

TZA, the levered -3x ETF on the Russell 2000, is shown in the top. Note that my automated buying algo did not kick in today despite the downward pressure at the end of the day. What the lower pane shows you is that while we did sell off with news at the end of the day, in general, the damage was not nearly as bad as it could have been throughout the day. We need a few more of those MAs to cross from above before I'll move to the bearish side with a long position in TZA.

This next set of views shows that the damage was more severe to the stocks on the individual indexes:

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On the left we have the S&P500, in the middle the Russell 2K, and on the right the NASDAQ.

The sell-off due to the lack of an European agreement in front of tomorrow was deep on the S&P500 as well as the Russell 2K. The NDX held up better, but all three are obviously damaged. AMZN's miss after hours didn't help at all either.

My stance is guarded but more bullish than bearish. The fact that my automated TNA system got me out of the trades as the day got worse, but that the TZA system did not fire, tells me that we're at a crossroads. Futures are up marginally as I write this, so we'll see.

With respect to the Automated TICK system, details are just starting to materialize as I'm starting to get enough trades to see if this is going to work. While backtesting is important (yes, I owe a paper on this, I remember Bob), I think real money is important too. Here are the results of using TNA and TZA from October 1st, which is my official start date with this strategy:

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I'll continue to post weekly performance data as we march through time.

Note that this is work in progress, so please don't ask me to provide timely signals. I post only to show that there's something cooking which has promise. The issue here is that there is a SERIOUS disconnect between backtesting results and actual results (backtesting is far worse), so we've simply hit the system and conditions at a good time.

The results will get worse, not better -- THAT should be something you'd be willing to bet on !

Regards,

pgd

Harry
10-26-2011, 07:30 AM
Hi Paul,

Thank you for this update! I have been paper trading a model based on $tick - though I am sure not as sophisticated as yours. It still needs significant backtesting though. I look forward to your continued posts on this subject and your paper.

Harry

EB
10-26-2011, 08:05 AM
Thanks, Paul. One thing I've empirically noticed in this up leg is the cume Ticks have been getting whipsawed more by their MAs (I only watch Billy's). From the August low to the most recent low, simply trading the cross of the 10 hour was very profitable. Keep plugging away!