Sunday, September 02, 2007

Cumulative Line for the Adjusted NYSE TICK

One of the indicators that I've relied on the most over the years is the Adjusted NYSE TICK. As mentioned in prior posts, this is calculated by subtracting the average one-minute TICK reading over a period of 20 days from each subsequent one-minute TICK reading. I then add up the adjusted TICK readings to arrive at a daily value. This daily value tells me whether, in relative terms, we're getting more buying or selling interest in the market. By cumulating the daily readings (like an advance-decline line), we can detect the waxing and waning of buying and selling pressure.

Note above how the line topped out ahead of the market and then failed to continue its decline when the market made its sharp low. (Click on chart for greater detail). Since that time, the line has been in a solid uptrend, making new recovery highs as of Friday. During topping markets, we commonly see price highs that are not confirmed by the Cumulative TICK Line. So far that hasn't been the case.

RELEVANT POSTS:

The Cumulative NYSE TICK: A Valuable Measure of Market Sentiment

Capturing the Intraday Trend With the Cumulative Adjusted TICK
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4 comments:

Victoria said...

On which platform can I make a calculation like that?

Brett Steenbarger, Ph.D. said...

Hi Victoria,

I don't know of any real time data feeds carrying the Adjusted TICK; the raw TICK measure is carried on most feeds as $TICK. All my calculations and charting were conducted within Excel on data archived from e-Signal.

Brett

Trader Musings said...

Here is a similar indicator using TradeStation, and I have included the code:

http://tradermusings.blogspot.com/2007/09/cumulative-tick.html

I had to use a 15 minute chart to include the two months of data in one chart. I typically use a one minute chart.

Charles

Brett Steenbarger, Ph.D. said...

Thanks so much, Charles, for sharing your work!

Brett