Monday, February 01, 2010

Catching the Day's Sentiment With the Cumulative NYSE TICK Line


One of my favorite intraday sentiment indicators is a cumulative line of the NYSE TICK. I take an average of the high/low/close TICK readings for each minute and simply add each minute's total to a running sum. Although volume was on the low side for much of the day and the ES futures (blue line above) traded in a range, you can see that buying sentiment dominated on the day, as stocks persistently traded on upticks vs. downticks. That sentiment was finally realized in the late day break to the upside.

Note how successive lows in the ES futures came at higher levels in the Cumulative TICK line. That is one way that I track whether sentiment is shifting toward bears or remains on the side of the bulls. In general, I've found limited success trading against a TICK line that is moving directionally.

.

4 comments:

dnk said...

Thank you for the great post. I like the cumulative TICK Line with the ES.

I have more of a technical question. What software do you use to produce the graph? If you use Market Delta do you have the Professional verison? If doing it in Excel is it live? Would you mind doing a post about the tools you are using?

Thanks,
Douglas

George said...

Douglas-

If you subscribe to eSignal and pay extra for the Desktop API entitlement, you can write a macro in VBA that will grab the Tick quote every minute and then drop the quote on the spreadsheet. You can do the calculations in the VBA code or on the spreadsheet.

George said...

Douglas-

Forgot to say that the VBA code would be written using the Excel spreadsheet software.

MineDigger said...

Or within eSignal use the EFS language to do it.