Tick Status / Interpretations

[grems8544]

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...

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



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:



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:



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]

Here are some of my own:



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.



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



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!

[EB]

I had experimented with a detrended presentation (4th subgraph) and like the slopes idea as well (5th, bottom).



Here are the settings for both, respectively.

[grems8544]

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]

Paul; Thank you. Exactly what I was looking for!
Robert

[EB]

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!

[grems8544]

From a broad perspective, the buying algos turned on around 15:22 EDT and didn't let up through settlement at 16:15:



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:



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.



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:



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.

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My plan today with respect to the tick methodology is to

1. Watch for a crossing from below on the $TIKRL (Russell 2K) small caps of the 10d cumulative tick MA
2. Watch for confirmation across $TIKSP, $TIKQ, and $TICK of the same ($TIKSP is already there -- will it hold?)
3. 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]

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]

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]

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.