NYSE $TICK AND $ADD - futures io
futures io



NYSE $TICK AND $ADD


Discussion in Psychology and Money Management

Updated
      Top Posters
    1. looks_one tigertrader with 15 posts (83 thanks)
    2. looks_two TonyB with 9 posts (4 thanks)
    3. looks_3 Jigsaw Trading with 6 posts (15 thanks)
    4. looks_4 Fat Tails with 6 posts (35 thanks)
      Best Posters
    1. looks_one Fat Tails with 5.8 thanks per post
    2. looks_two tigertrader with 5.5 thanks per post
    3. looks_3 Jigsaw Trading with 2.5 thanks per post
    4. looks_4 monpere with 2.2 thanks per post
    1. trending_up 52,961 views
    2. thumb_up 167 thanks given
    3. group 47 followers
    1. forum 75 posts
    2. attach_file 28 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

NYSE $TICK AND $ADD

(login for full post details)
  #1 (permalink)
 tigertrader 
Philly, Pa
 
Experience: Master
Platform: NinjaTrader
Trading: ES, ZB
 
tigertrader's Avatar
 
Posts: 6,255 since Jul 2010
Thanks: 6,574 given, 34,958 received

TICK - First Panel

The NYSE TICK tells us how many stocks are trading at their offer price minus those trading at their bid. It is now available on NT with a live Kinetick feed, and goes under the symbol ^TICK.

It is a great measure of very short-term sentiment, because it captures the degree to which the broad market reflects aggressiveness of bulls (lifting offers) vs. bears (hitting bids)
. A 10-13 period moving average of the NYSE TICK removes much of the noise from the one-minute values. In the attached chart of Friday’s trading, a few things stand out:

1)You can often identify strong days to the upside and downside when the first hour's TICK is persistently positive or negative. This means we have skewed sentiment, with stocks aggressively trading on upticks or downticks. When TICK MA pullbacks can't even go into positive or negative territory you know that the sentiment is quite negative or positive. That's a hallmark of a trending day.

2) You can see the 13 MA of TICK is spending more time below the zero line, which tells us that the Cumulative TICK is running negative. The possibility of a trend day is evident because we're persistently below the zero line in the TICK MA. The moving average of TICK also helps us identify intraday turns in sentiment and trend, when markets shift from primarily above/below zero to primarily below/above. Non-trending markets will generally spend more balanced time above and below the zero level.

3) In a weak market, pullbacks in the 13 MA of TICK are often good short-term entry points. Notice that each time the 13MA (blue line) pulled back to the zero line it created a perfect selling opportunity. Even in a market that is about to change direction, we'll often get a retest of previous highs/lows after one of these TICK pullbacks/bounces, making it much easier to scratch trades.

Also note the distribution of TICK values over time. In the attached chart, we see the first hour of trade for Friday’s market. The center green horizontal line is placed at zero, and the blue horizontal lines are a 4 standard deviation regression channel. Notice that the bars are distributed more below the zero line and that the extreme bullish TICK readings peak at 600, while the extreme bearish readings peak at the -800 level. Clearly, the net distribution of TICK is skewed negatively, and we're seeing more bouts of significant selling than buying.

On average, the one-minute high value for TICK is around +250 and the average one-minute low value is around -250. The standard deviation is approximately 450. That means that two-thirds of all TICK values will fall between +700 and -700. About 95% of all TICK values will fall between +1040 and -1040, making values greater than +1000 or less than -1000 the exception.

Please note that while we are looking at a single days picture of the TICK, it's readings has implications several days out.
Very positive trader sentiment over a several day period tends to generate strength over the next several days, and very negative sentiment tends to lead to reversals.


ADD - Second Panel

A very effective tool for identifying trend environments vs. range ones is the intraday NYSE advance-decline line. It tracks the difference between advancing and declining stocks on an intraday basis; and is now available on NT with a live Kinetick feed, and goes under the symbol ^ADD

Friday’s ADD opened flat and was -530 in the first 15 minutes, it then pulled back to the zero line and failed and was - 1570 within a relatively short period of time. In Friday's case we had the ES break below it's opening range, accompanied by a rapidly falling ADD, which signaled a possible trend day down.

The opening value for $ADD correlates with the value at the end of the first half hour of trade by .56. The median opening value for $ADD has been -1, with a standard deviation of 81. So when we see $ADD open at +150 or greater or at -150 or less, it is an indication that we might be in a trend day. By the end of the first half hour of trade, the median value for $ADD has been -346, with a standard deviation of 1378. So, within the first 30 minutes of trading, we should have a pretty good idea of what kind of trading day is ahead of us. If we're seeing $ADD with readings of +1500 or more or -1500 or more (negative), then there is a high probability of a trend day.

More on $TICK strategies...

NYSE TICK's and TICK Strategies - Traders Laboratory - Professional Traders Community


Attached Thumbnails
Click image for larger version

Name:	1_28_2011.jpg
Views:	2258
Size:	218.3 KB
ID:	29606  
Follow me on Twitter Started this thread Reply With Quote

Can you help answer these questions
from other members on futures io?
MCnet: (Multi-Timeframe) EMA @ Weekly Data on Daily Chart
MultiCharts
AUSuperTrend in the NT strategy builder
NinjaTrader
PowerLanguage code for iceberg trading???
MultiCharts
you cant wait for life is not hard anymore before you de …
Psychology and Money Management
Using fxd files in FXCM trading station
Platforms and Indicators
 
 
(login for full post details)
  #3 (permalink)
 Fat Tails 
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,858 since Mar 2010
Thanks: 4,238 given, 26,768 received


Thank you for this post. I think that watching market breadth indicators in parallel with index futures produces a real edge. Unlike the usual bunch of indicators, which is derived from price, the TICK, ADD and TRIN use information from a different source.

I agree on everything that you have written on the TICK, it is a very valuable information on short term sentiment. I use a 20-period SMA with fixed bands. When the ticks exceed those bands I am getting an acoustic signal. I have also experimented with a center line instead of a moving average (center line of Donchian Channel), and this gave similar results.

It is important to adjust the bands to the trend in order to catch the retracements and not the unwanted countertrend signals. This is what you have also done, as I can see the asymmetry between the two lines plotted on the chart.

The chart below shows six signals that were generated during the first two hours today, when the bands were violated. When using the SMA(20) as a trendfilter, five of the six signals were confirmed, one of them was invalid. The invalid signal, although it had one of the highest tick readings in absolute terms was dangerous to take.

Attached Thumbnails
Click image for larger version

Name:	ES 03-11 (1 Min) _ ^TICK (1 Min) 31_01_2011.jpg
Views:	1608
Size:	123.2 KB
ID:	29708  
Reply With Quote
 
(login for full post details)
  #4 (permalink)
 redratsal 
Milan (I)
 
Experience: Advanced
Platform: Ninjatrader
Broker: Kinetick
Trading: FDAX,6E,CL,YM,NQ,ES
 
redratsal's Avatar
 
Posts: 1,653 since Oct 2010
Thanks: 1,215 given, 2,084 received

Thanks for sharing tigertrader

For IB users the simbols are (as usual no historical only RT):

Tick

Tick Nyse
Tick Nasd

A/D

AD Nyse
AD Nasd

Ninja Instrument Manager
^TICK
^TICKQ
^ADD


For A/D TWS does not display the data, but it is available using the API

This is very interesting, too bad it is mainly linked to difficult instruments (ES and NQ), although they relate to each other, I wish we had Tick and AD for TF and Dax. Look forward for the follow up.

Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to redratsal for this post:
 
(login for full post details)
  #5 (permalink)
 monpere 
Bala, PA, USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Mirus, IB
Trading: SPY, Oil, Euro
 
monpere's Avatar
 
Posts: 1,858 since Jul 2010
Thanks: 300 given, 3,339 received


redratsal View Post
Thanks for sharing tigertrader

For IB users the simbols are (as usual no historical only RT):

Tick

Tick Nyse
Tick Nasd

A/D

AD Nyse
AD Nasd

Ninja Instrument Manager
^TICK
^TICKQ
^ADD


For A/D TWS does not display the data, but it is available using the API

This is very interesting, too bad it is mainly linked to difficult instruments (ES and NQ), although they relate to each other, I wish we had Tick and AD for TF and Dax. Look forward for the follow up.

I haven't corrolated the TICK with the futures contracts, but today I traded the SPY, and the TF. Notice on the attached chart of the SPY how, in this huge down day, the TICK consistently enables good counter trend trades. I scalp the market with and against the trend, I just highlighted the counter trend trades, because in a strong trend, the TICK will seldom hit the extreme going with the trend, as evident in the chart. The indicator plots a 'T' when a Tick extreme is reached.

Attached Thumbnails
Click image for larger version

Name:	tick1.jpg
Views:	1067
Size:	289.2 KB
ID:	32246  
Reply With Quote
The following 3 users say Thank You to monpere for this post:
 
(login for full post details)
  #6 (permalink)
 Fat Tails 
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,858 since Mar 2010
Thanks: 4,238 given, 26,768 received


monpere View Post
I haven't corrolated the TICK with the futures contracts, but today I traded the SPY, and the TF. Notice on the attached chart of the SPY how, in this huge down day, the TICK consistently enables good counter trend trades. I scalp the market with and against the trend, I just highlighted the counter trend trades, because in a strong trend, the TICK will seldom hit the extreme going with the trend, as evident in the chart. The indicator plots a 'T' when a Tick extreme is reached.

What about using the TICK to trade in the direction of the trend, wouldn't the result have been much better?

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
(login for full post details)
  #7 (permalink)
 tigertrader 
Philly, Pa
 
Experience: Master
Platform: NinjaTrader
Trading: ES, ZB
 
tigertrader's Avatar
 
Posts: 6,255 since Jul 2010
Thanks: 6,574 given, 34,958 received


Fat Tails View Post
What about using the TICK to trade in the direction of the trend, wouldn't the result have been much better?


Agreed...there were at least a half dozen sell signals that presented better opportunities to have extended gains, because you were trading with the trend on a huge trend day. Once again, it's not the frequency of the winning trades; it's the magnitude of the winning trades.

Attached Thumbnails
Click image for larger version

Name:	^TICK (1 Min) _ ^ADD (1 Min) _ ^TRIN (1 Min) _ ES 03-11 (1 Min) _ ^TICKDJ (1 Min) _ YM 03-11 (1 .jpg
Views:	834
Size:	278.9 KB
ID:	32252  
Follow me on Twitter Started this thread Reply With Quote
The following user says Thank You to tigertrader for this post:
 
(login for full post details)
  #8 (permalink)
 itrade2win 
New York
 
Experience: Intermediate
Platform: Sierra Charts, TOS
Trading: E-mini S&P 500
 
Posts: 753 since Aug 2010
Thanks: 447 given, 437 received

Hey Tiger,

What data feed are you using? It is my understanding that you cannot get $tick data from ZF or TT.

Reply With Quote
 
(login for full post details)
  #9 (permalink)
 tigertrader 
Philly, Pa
 
Experience: Master
Platform: NinjaTrader
Trading: ES, ZB
 
tigertrader's Avatar
 
Posts: 6,255 since Jul 2010
Thanks: 6,574 given, 34,958 received


itrade2win View Post
Hey Tiger,

What data feed are you using? It is my understanding that you cannot get $tick data from ZF or TT.


Kinetick! CQG has it also.

Follow me on Twitter Started this thread Reply With Quote
 
(login for full post details)
  #10 (permalink)
 monpere 
Bala, PA, USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Mirus, IB
Trading: SPY, Oil, Euro
 
monpere's Avatar
 
Posts: 1,858 since Jul 2010
Thanks: 300 given, 3,339 received



tigertrader View Post
Agreed...there were at least a half dozen sell signals that presented better opportunities to have extended gains, because you were trading with the trend on a huge trend day. Once again, it's not the frequency of the winning trades; it's the magnitude of the winning trades.

I trade both with and against the trend, I actually had just as many entries with the trend, but I don't use the TICK to take trades with the trend, I only use it to confirm counter trend trades. Since this thread is about the TICK, I only showed the entries that were supported by the TICK. As you can see on the chart, the indicator had only 1 or 2 TICK extremes going with the trend. I am a scalper I try to take 6 to 10 ticks out every pullback and every continuation move and get out. I can't be in a trade for more then 3 minutes, or I will pull my hair out.

Reply With Quote
The following 3 users say Thank You to monpere for this post:


futures io Trading Community Psychology and Money Management > NYSE $TICK AND $ADD


Last Updated on April 7, 2021


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing

Your Trading Jekyll and Hyde w/Peter Davies @ Jigsaw Trading

Elite only
 

Our 12-year anniversary w/ $$,$$$ prizes (check soon)

June
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada), info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts