Friday, June 27, 2008

Another Look at a Trend Day

My previous post took a look at the NYSE TICK during Wednesday's trend day to the downside. We saw consistent selling sentiment through the day, as the broad list of stocks traded on downticks--at their bid, rather than offer, prices.

If we take a look at the TICK measure specific to the Dow 30 Industrials ($TICKI in e-Signal), we see a similar pattern. As the day wore on, the Dow stocks increasingly traded on downticks.

Because the Dow stocks are among the most liquid blue chip stocks, they are common constituents of the baskets traded by program traders. For that reason, the Dow TICK offers a good reflection of program trading sentiment.

By integrating Market Delta (volume traded at bid vs. offer) with NYSE TICK (stocks traded at bid vs. offer) and Dow TICK (large caps traded at bid vs. offer), we obtain a multidimensional picture of sentiment minute by minute.


Dow TICK and Program Trading

Tracking the Opening Minutes


Paolo Pezzutti said...

Interesting also to note how the Dow Tick printed weak reactions when SPY rebounded. Trend days display continued weakness throughout the trading session. What I noted also, is that whenever you have a down gap at the open you normally have a move to close the gap some time after the open. When this does not happen by let's say lunch time you can expect an acceleration of the move in the afternoon. Of course it should be measured.

Brett Steenbarger, Ph.D. said...

Excellent observation, Paolo; that makes a lot of sense--