Note how the Cumulative NYSE TICK line (red) has moved steadily lower during the day, breaking to new lows well before we saw fresh price lows for the day in the S&P 500 Index (SPY; blue). Because TICK is based upon the upticking and downticking of stocks in the broad market, the cumulative line gives us a general sense for buying and selling sentiment on the day.
The most recent bounce in SPY has occurred on relatively low TICK levels, suggesting it reflects short-covering more than broad-based buying. Generally, we need to see TICK readings above +800 and below -800 to suggest meaningful intraday institutional sentiment.
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7 comments:
There was definitely a lot of short covering going on today
Hi Dr.Brett
IMHO the problem with the cumulative TICK is when u start accumulating, lets say at beginning of the regular trading hours, every reading will have a proportionately bigger impact cause the second minute represents 50% of the cumulative total, the third 33% and so on....meaning as the day goes on, every reading will have less impact....i would assume to make up for that u should use a logarithmic scale cause for a day where u have a strong bias from the beginning the accumulated total will reach high numbers and when u see a turn in the TICK it would be as visible in the cumulative line, if that all makes sense.
love your blog
Love the blog very much, but I am struggling a little with the comment
"Note how the Cumulative NYSE TICK line (red) has moved steadily lower during the day, breaking to new lows well before we saw fresh price lows for the day in the S&P 500 Index (SPY)"
- the two lines on the chart shown (mauve & blue) seem to move in unison and reach new lows simultaneously ..
Cumulative tick seems to be indisputable as a trend indicator, and trends by their nature, unfold progressively from a starting point. If converted to a "rolling tick", for example, it might lose its value as a leading indicator and become a lagging one.
As an oscillator (a shorter and longer term rolling cum-tick extending across trading days) each datapoint would have equal historical weight, and short-long converg/divergences between short & long become a leading indicator, but absolute-value information for day-over-day plots (such as "gee what a bad day today, my cum-tick closed @ -3600 !") is lost.
So in conclusion, GREAT indicator, could have many guises ...
cumulative tick is close to worthless, 50% of the time it leads price, 50% it lags price, no idea why this blog keeps posting about it.
Not sure whether this has been covered already in the blog, but NYSE-TICK & SPY seem to be different markets ...
...There is a TICK-NASD in my datafeed, that could be compared to QQQQ I guess, except I have not found a way to export my feed data (for Excel).
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