Tick Status / Interpretations

[grems8544]

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:



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:



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]

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]

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]

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]

Great...look forward to it.