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Strange NYSE Tick Behavior
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Strange NYSE Tick Behavior

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Strange NYSE Tick Behavior

Has anyone else noticed that the NYSE Tick has really diverged from the ES? Enough to say it's almost totally uncorrelated anymore. I first started noticing this a year ago, and it became extremely prevalent six months ago to now. I use to use it to help judge trend strength with some MA's on it.

Nowadays the Tick is so divergent it can be up-ticking through an entire ES downtrend. As I don't pay much attention to it anymore... I am considering ditching it.

Kinda puzzling though... Going to go check $UVOL and $DVOL and if they are diverging too.
Update: Yep... NYSE Volume ratio's and everything are divergent from the ES too nowadays. Correlation has gone way way down. *Head scratcher.*


Last edited by MedianVelocity; January 6th, 2014 at 01:27 PM. Reason: Update
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MedianVelocity View Post
NYSE Volume ratio's and everything are divergent from the ES too nowadays. Correlation has gone way way down. *Head scratcher.*

Well, market structure has changed somewhat. I have to imagine that things like the emergence of dark pools have cut into TICK's relevance.

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Well, market structure has changed somewhat. I have to imagine that things like the emergence of dark pools have cut into TICK's relevance.

@MedianVelocity: Markets change, and so do the market's internals; and $TICK values and $TICK behavior changes over time. $ TICK extreme values change over time, depending on the bias of the market and it's attendant volatility. The $TICK is still highly correlated to the ES, as you can see in the below chart. But one must adapt their $TICK strategies to current markets - not past markets. This not only includes taking direction into consideration, but volatility also.

The markets have changed and continue to change for a myriad of reasons, which I have enumerated in my Spoo-nalysis thread, but the why is not so important as the how. How have these changes affected price action and what adjustments to my signals, strategies, and methodology, do I have to make to better anticipate current market realities as opposed to historical realities.

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I don't pay attention to extreme values. I just never use to see full blown downtrends with a positive tick average years ago.

I mean, if the market is selling off broadly... The amount of stocks down-ticking should be more than up-ticking, right?

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Ok, since your not getting what I am talking about... Here is a chart of today. Notice the tick average staying high all day and only dipping slightly negative twice.

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I don't pay attention to extreme values. I just never use to see full blown downtrends with a positive tick average years ago.

I mean, if the market is selling off broadly... The amount of stocks down-ticking should be more than up-ticking, right?

The whole idea of using any kind of correlation in trading is to uncover a predictive relationship that can be exploited. If two variables are perfectly correlated and in lockstep with each other, there is no predictive value, other than the trend may be intact for the moment. If however, they are divergent or lagging then a trading opportunity may present itself. If the market is rallying and the $TICK is rallying, then the market is inherently strong, however, if the market is rallying and $TICK is not , then this implies that "smart" money is selling into the rally. For some reason, the $TICK's predictive value is better for picking swing bottoms, rather than tops.

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I always use 2 independent platforms to check if the movement is correct.

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