Tuesday, December 08, 2009

Cumulative TICKI and Short-Term Stock Market Sentiment


My recent post highlighted the TICK indicator for the 30 Dow Industrial stocks (TICKI) as a measure of short-term sentiment.

Just as we can create a cumulative line of NYSE TICK to track shifts in sentiment over the day (and from day to day), we can create a cumulative TICKI line for similar purposes.

Above we see today's trade in the Dow (DIA; blue line) plotted against the cumulative TICKI line. That line was created by summing the high, low, and closing TICKI value for each minute and then summing; the chart was created in Excel.

Note how the cumulative TICKI topped out ahead of price and then bottomed out ahead of price. It is not so much a timing indicator as a general barometer of intraday sentiment, capturing upticking and downticking behavior across the very liquid large cap stocks.
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9 comments:

LB said...

Brett--
Very interesting approach.
I was wondering where you get the data for these charts. Is it a single data provider?
Thanks.

Matt Fahmie said...

Interesting. How many pieces of information
do you find you need to successfully monitor
Intraday sentiment, and where do you see a drop off
in usefullness? For example, there are a myriad
of different measures to use intraday, where does
the point where it starts to become information
overload and what amount of information is
enough to make informed decisions and not be
frozen from information overload?

It would be interesting to find out at what
point the brain is most efficient in regards to
information processing relative to the amount of
stimulus needed to be processed.

Brett Steenbarger, Ph.D. said...

Hi LB,

The data all come from e-Signal and are charted in Excel--

Brett

Brett Steenbarger, Ph.D. said...

Hey Matt,

You're definitely asking the right question. Once you've identified worthwhile measures, it's important to filter and prioritize those. TICK and Market Delta are my main sources of info, but there are patterns involving TICKI that are worth following.

Brett

JimRI said...

For anyone who is interested, I have some custom efs functions for esignal that plot the Accumulated TICK (or TICKI) and alert on adjustable high low values of the TICK or TICKI .

If interested, let me know.
jgr

Trading Pivots said...

Greetings, you may find this display of market internals I use on the Think or Swim platform. There are 2 tick screens, Trin, ADV/DEC lines for the Naz and NYA. On the left I have alerts set for +750 and -750 ticks as well as +/-1000 tick. I also enjoy the scottrade streaming High/Low ticker. INTERNALS http://screencast.com/t/YTEwNGViY
Thanks for your work Brett.

kuch said...

does anyone know how to pull this data from TradeStation to excel?

kuch said...

Does anyone know how to do this in TradeStation?
Thank you.
sk

CharlesTrader said...

kuch,

Here is the TradeStation Code for the Cumulative $TICK:

Cumulative TICK Code

You can apply this indicator to the TICKI.

To pull data from TradeStation to excel click on "View" in the toolbar, and then click on "Data Window". Save the Data Window as a text file, and then download the text file to excel.

Charles