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Better sentiment index than $TRIN?
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Better sentiment index than $TRIN?

  #1 (permalink)
Every Day I'm a n00b
San Tan Valley, AZ/USA
 
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FABRICATORX's Avatar
 
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Better sentiment index than $TRIN?

$TRIN is defined as

(advancing issues/declining issues) divided by (volume of advancing issues/volume of declining issues)


I also want to include the others, like AD lines, TICK, blah blah blah.

My issue with these sentiment indices is based on an assumption: if these are taking all of the advancing and declining "issues", then that would include those that are inverses to each other as well, thereby cancelling each other out.

For example, SPX and VIX are inverses. So even though the volume is much different, aren't they somewhat nullifying one another as represented by TRIN?

I'm hoping one of you folks can clarify this for me

-Jimmy
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  #2 (permalink)
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  #3 (permalink)
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Perhaps resident expert on data feeds @IQFeed James can give you some clarification.

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  #4 (permalink)
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@FABRICATORX,

TRIN takes into account individual equities, not futures or indexes. Indexes such as SPX and VIX aren’t used in the calculation of breadth indicators and thus wouldn’t be there to cancel themselves out.

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  #5 (permalink)
Every Day I'm a n00b
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Awesome! Thanks James

Sent from my hltetmo using Tapatalk

-Jimmy
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  #6 (permalink)
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What about inverse ETFs?

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  #7 (permalink)
Every Day I'm a n00b
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Opstar View Post
What about inverse ETFs?

A brief search has yielded that inverse ETFs are in fact part of TRIN. I guess the question is still valid.
@IQFeed James

-Jimmy
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  #8 (permalink)
 Vendor: www.iqfeed.net 
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@FABRICATORX and Opstar,

The thing to keep in mind with regards to market breadth indicators is that they are just that… and indicator. You are a step ahead by knowing how they are calculated. Now that you know “what” the indicator is, you can evaluate its values and trend’s usefulness with your particular trading style.

We have looked at modifications to various indicators to include/exclude ETF’s, include/exclude OTC, include/exclude based on listed or traded exchange, etc. However, our research found that it didn’t make a significant difference in either the values or the trends of the indicators to warrant the change.

If you are worried about ETF’s being included in the TRIN, you can always use our various other TRIN’s on the Dow Jones Comp, Nasdaq 100, Russell 2000 or S&P 500 which is obviously looking at a smaller universe of equities. Whether these constitute a “better sentiment index than $TRIN” would be up to individual interpretation.

James

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  #9 (permalink)
Every Day I'm a n00b
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Posts: 195 since Jun 2013
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Your research is what I wanted to accomplish, actually, and the fact that your results were inconclusive is an answer enough for me. Thanks!

Sent from my hltetmo using Tapatalk

-Jimmy
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