Tuesday, May 23, 2006

Intraday Participation

Today gave us a nice opportunity to see how the concept of participation applies to intraday time frames as well.

The May 24th entry in the Trading Psychology Weblog offers a picture of market participation on a 3 minute basis leading up to the market's swan dive late in the afternoon. This chart tracks the number of advancing minus declining NYSE stocks. We began the day with strength, but advancers waned through the day *prior* to the large drop. Just as Monday's weakness could not extend to a majority of issues, Tuesday's rising tide could not lift all boats. That's a clear negative for this market and will have me looking once more for downside participation on Wednesday.

4 comments:

dk said...

Hi Brett...

Thanks for visiting my blog, The dk Report. I have followed you for some time, and it was kind of you to comment on one of my posts.

You bring a unique perspective to the mix, and I enjoy the objectivity your data-driven observations produce. I visit your blog and website daily.

In aggregate, your posts have combined to influence my own trading a great deal. Not only are your posts provocative, but your sense of scholarship is evident in your "bibliographic" links to so many other websites. I follow those links and benefit from them as well.

If I may -- two questions: what is the source of your trading data? In particular, I'm refering to the data used in your "n" formulas, such as "N = 2584 trading days".

The companion question is by what means do you grind this data? For example, how do you obtain calculations such as, "...an average return per trade of .01% (725 up, 617 down)."

Is this proprietary, or off-the-shelf stuff?

Anyway, thanks again. Feel free to visit The dk Report whenever you have time. I post at least once daily and enjoy the feedback.

Best

David

baifriend said...

There is an indicator TRIN. You mean something like that?
TRIN=
Advancing Issues / Declining Issues
----------------------------------------------------
Advancing Volume / Declining Volume

Brett Steenbarger, Ph.D. said...

Hi David,

Thanks for your post; I enjoy your blog. I use data from a variety of sources, including Pinnacle Data, e-Signal, and Townsend Analytics. All the data are archived in Excel and analyses utilize the database functions within Excel.

Brett

Brett Steenbarger, Ph.D. said...

Hi,

I do some analyses with TRIN (Arms Indicator) and have found it useful at extremes, especially when price is behaving differently from TRIN.

Brett