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.