The Thrust is based on the Total Effective Volume (TEV.) The idea is simply to compare the Day TEV or the TEV of the past two days to the absolute average TEV of the past 10 days. We want to have a filter regarding "what could be special" without having to wait for longer term indicators to tell us that the trend has changed.
1. Thrust for Stocks
Most extreme Thrust moves occur due to external events: Earnings or company acquisition. I am mostly interested in finding out special situations that are not in the news yet. Hence, I do not look at extreme Thrust activity, but at Strong/Weak trust that is not extreme.
You mainly find the Thrust in two excel files: The general repository file and the file that contains the day activity.
A. The Repository File
Below is a snapshot of this file.
We can see that it contains the 1D Thrust and the 2D Normalized Thrust
Lets take GOGO and DOW as examples.
For GOGO, we can see that TEV was positive yesterday (Green arrow is pointing up.) If we divide the amplitude of today's move (Open to close and not High to Low) by the average of the absolute Open to close moves of the past 10 days (Blue arrows), then we get a GOG Thrust for yesterday of + 1.95. This means that yesterday we had a move that is about twice more important than usual.
For DOW, yesterday's thrust was negative and slightly lower than usual (-0.73). There was distribution, but the distribution was not that strong.
The Table below is an extract from the repository file. The Normalized 2D Thrust will be explained below, in the Section related to the sectors.
The 1D Thrust is used in three different sheet of the depository file:
A: The sheet that shows the 20 stocks with the best Thrust simply displays the 20 best Thrusts.
B: The sheet that that shows the 20 stocks with the worst Thrust
C: The most interesting sheet is the "Thrusts_on_Buy_Sectors". This is the list of stocks with a Thrust higher than 1.5, which belong to sectors that have issued a buy signal in the past three days or are about to issue a buy signal. For example, we can see a few stocks from the Solar sector, which has issue a buy signal two days ago.
Sheets A and B are not very useful, because the mainly point to extreme Thrusts on which it is often to late to act. I would probably eliminate these two sheets when I make a review of the data files that are really in use.
For example, we can see in the Table below that TTMI displays the strongest Thrust simply because on Dec 17, "TTM Tech announces pricing of $220 mln of 1.75% convertible senior notes due 2020." The TTMI pattern is shown below.
The strong Thrust might be the underwriters trying to support the stock price in order to be able to sell the notes. This in no way indicates that the price will increase from here.
The "Thrusts_on_Buy_Sectors" is a key sheet. I indeed back-tested that when the 20DMF issues a buy signal, it is good to buy stocks from sectors that just issued a buy signal and especially stocks that display the highest Thrust on that day.
B. The Daily Thrust activity by Sector File
The "Day_Lev.xls" can be found in the Filters list. This is a file that is updated a few times per day. It is a key file that I use every day to get new ideas or to see what industry group (The list of the different groups is shown below) is doing better than others.
Below is a screen shot of the main sheet of that file.
We can see in Red color the updating time. This will change during the day.
The Green color shows the average Thrust for all the stocks in the group.
For the technology sector, I highlighted The strongest (DISH) and the weakest (PEGA.)
Usually, the top and bottom of the range are less interesting that those that are at the extreme, but not the most extreme. For example, DISH news attracted buyers in the first minutes and then the move was over for the day, while RAX attracted buying all over the day.
2. Thrust for Sectors
The 2D normalized Thrust is only used to sort sectors within the "Sectors" sheet of the repository file.
It is used to rank sectors. I will write about this in a separate Article.
The 2D Thrust is in fact the difference between the Red and the Green arrows on the Figure below. This difference measures the progression of the TEV extension above the pink average line.