Tuesday, December 01, 2009

Measuring the Day's Sentiment With the Cumulative NYSE TICK

Here's a look at trade this morning (Central Time) in the S&P 500 Index (SPY), plotted along with the Cumulative NYSE TICK. The market was hovering in the 111.10 area for quite a few minutes, but it wasn't difficult to play for a quick upside breakout with a target of taking out the morning highs. The Cumulative TICK was showing bullish intraday sentiment throughout the session, despite rangy trade in SPY.

Many breakout moves can be anticipated by seeing how Cumulative TICK has been moving within the market's price range.

I calculate Cumulative TICK by averaging the high, low, and close for each one minute period and then summing those values, with the day starting at zero. Data come from e-Signal; the chart was created in Excel.

For more on NYSE TICK and measuring sentiment, check out this post.