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Breadth indicators for analysis
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Breadth indicators for analysis

  #51 (permalink)
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Comparioson on YM using DOw ticks vs NYSE ticks

I did this study about 6 months ago, I too was deciding between using my instruments ticks vs general market ticks. I trade YM. So i made a simple strategy that would fade tick extremes at 2 standard deviations from the entire populations mean. This was in an effort to scale the thresholds equally since they are on totally different scales. This strategy closes every minute for 1-120 minutes. This is just to test if there is something significant there. By no means a strategy, also no commissions / slippage are taken into account.

YM tick long fades at -26 average trade expectancy
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NYSE tick long fades at - 600 average trade expectancy.
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YM tick short fade at +26
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NYSE tick short fade at +600
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My conclusions: basically the NYSE tick is going to be better for short holding time traders as the positive expectancy is in the 1 to ~12 minute areas. Though not that strong in general. YM tick fades work out better for holding times of 60+ minutes

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  #52 (permalink)
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I would be interested in looking at a McClellan chart using Ehlers SuperSmoother/HP filter. I haven't had time to figure out how to do this in Sierra Chart.

But if anyone else watched the Ehlers webinar and is using Sierra Chart and wants to show me how, I would be appreciative.

My daily SP500 chart is already complex with all the external chart sources and overlays, so I am not looking forward to trying to tackle this. Except that I really liked what Ehlers said, and I think it could provide some nice divergences.

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  #53 (permalink)
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hi guys...just came across this thread. Would love to get your thoughts to understand if there are other ways to identify underlying market conditions. Traditionally A/D & NH/NL are good for breadth and identifying trends.

Was wondering if this can also be complimented with any good method's of analysis to gauge increase/wane in momentum or key market turning points looking at a subset of stock/options rather than the broad index. Any thoughts or your experience in merits of something like this. If you have used something like this....would you care to share on any thoughts what should factored in this kind of approach in co-relating a smaller subset rather than the broader index. What are the factors which need to be calculated and analyzed. This is a new area to me & would love to hear your thoughts.

cheers
s

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  #54 (permalink)
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paps View Post
Was wondering if this can also be complimented with any good method's of analysis to gauge increase/wane in momentum or key market turning points looking at a subset of stock/options rather than the broad index. Any thoughts or your experience in merits of something like this. If you have used something like this....would you care to share on any thoughts what should factored in this kind of approach in co-relating a smaller subset rather than the broader index. What are the factors which need to be calculated and analyzed. This is a new area to me & would love to hear your thoughts.

In the Spoo-nalysis thread, one of the major themes discussed is that of current price drivers. If you look back over March and April in that thread you will see quite a few references to biotechs and internet stocks. These were hugely influential at the time, and almost single-handedly led the downturn in the nasdaq over those 2 months. Looking at the NBI (biotech index, ETF is IBB) gave great clues as to which way the broad market was going to lean. Sometimes the high betas like PCLN NFLX TSLA FB will tend to lead, other times they back off. Back in the day, AAPL was basically the market--recently, it has actually been more often a contrarian indicator, as it became viewed as no longer a major growth stock. The thing is, it is not static and it changes. Pull up some quotes, or view some sector/industry ETFs and see what you come up with.

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  #55 (permalink)
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I have always liked the idea of comparing Brett S. cumm Tick and money flow. Alas, I don't want to bother with Market Delta. Do any of you guys see any merit in the study below?


Brett Steenbarger?s Cumulative Moneyflow & Adjusted TICK | The MarketDelta Blog

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  #56 (permalink)
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Also love what has been written by Martin Zweig & Gregory Morris...who I think are the biggest proponents of breadth. Most of my systems revolve and evolve around the same.

cheers
s

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  #57 (permalink)
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paps View Post
Also love what has been written by Martin Zweig & Gregory Morris...who I think are the biggest proponents of breadth. Most of my systems revolve and evolve around the same.

cheers
s

I agree, the book "Market Breadth Indicators" by Greg Morris is a recommended read. It is an excellent compendium of market breadth indicators and how to use them.

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  #58 (permalink)
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Fat Tails View Post
I agree, the book "Market Breadth Indicators" by Greg Morris is a recommended read. It is an excellent compendium of market breadth indicators and how to use them.

Totally agree @Fat Tails. I personally also love "Winning on Wall St by Martin Zweig" which is full of nuggets.

cheers
s

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  #59 (permalink)
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Also while am at this...... my journey on the Breadth has sent me on a path which I had never thought myself getting into. So would graciously & humbly put a list of names who have equally fascinating ideas/works on breadth... John L Person, Chris Perruna, Derek Hernquist & Stockbee....alongwith guiding thoughts from Martin & Gregs work. I feel truly grateful to have been able to come across works of the above as a trader during my searches.

cheers
s

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  #60 (permalink)
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This is a great thread.
@Big Mike I would really appreciate if you could give me some references (thread/post/books) about Suri's breadth oscillator which he created by unifying all the breadth into one. I am also working on the same line of thought recently.

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