Comments on: A Look At Cumulative TICK & Market Breadth

by: Babak

Tue, 30 Jun 2009 00:04:54 +0000

Thanks Rennie, appreciate being ’schooled’

by: Rennie Yang

Fri, 19 Jun 2009 00:58:11 +0000

For the basic Cumulative TICK, I keep a running summation of 1-minute NYSE TICK (or NASDAQ TICK) readings from open to close. You can simply chart that running summation against price, as Brett did in this recent post - or you can use each day's summation of all 390 1-minute readings to create that day's Cumulative TICK reading (this is what I do). You can see the current chart of the NASDAQ Cumulative TICK via this link and the NYSE Cumulative TICK via this link - the green line on the chart is the final number for that day (the sum of all 1-minute readings), while the red line is a 20-day moving average (which I like to compare against price). Note how there's virtually no lag between the moving average and price, suggesting the raw number functions as a lead indicator. While I maintain both versions, I tend to focus on the NYSE Cumulative TICK. Best, Rennie

by: Babak

Fri, 19 Jun 2009 00:28:13 +0000

Thanks for the feedback Rennie, so if not using daily data, how do you construct yours?

by: Rennie Yang

Thu, 18 Jun 2009 23:30:01 +0000

Your construction of the cumulative TICK chart is not accurate. You cannot replicate it utilizing daily data. I maintain a cumulative TICK chart for the NASDAQ w/ 1-minute data and it looks nothing like your chart.

Rennie

by: Babak

Thu, 18 Jun 2009 19:12:27 +0000

david, Dr. Brett uses something called ‘adjusted TICK’ which is what you mention but he also said that with the removal of the uptick rule, the adj. isn’t necessary anymore (since it no longer has an uptrending bias).

by: david

Thu, 18 Jun 2009 14:18:29 +0000

The first chart you show adds the tick values of every single day to each other. As far as i understand Dr. Steenbarger uses intra day tick data and he compares the 1 minute cumulative tick in one day with the average 1 minute tick of the last 20 days.

by: moneyfriend

Thu, 18 Jun 2009 10:38:42 +0000

Great post, I was going to call Brett out on that but figured I’d just let him live his dream : ) . Extrapolation is something I see a lot of on trading blogs and I’m glad to see you go the extra mile. IMO tick data is not consistently reliable enough for trading these days, but to each their own!

by: jkw

Thu, 18 Jun 2009 02:09:04 +0000

Dr Brett calculates the cumulative tick by subtracting the average value of the tick from the current value and adding up the 1-minute (or however frequent) readings. In theory, that should remove any long-term trends and create an oscillator. Did you do that with your NASDAQ cumulative tick chart?