17 replies to this topic

[Rogerdodger]

If you had to guess that is?

A guess is all it would be.
And a chance for me to look stupid.

As to TRIN...
Here's a historical chart of TRIN during the 2001 decline.
But remember that this only shows the closing tick and misses the whole day's action.



From Sentimentrader:

GUIDELINES:
We have found that the TRIN is most effective when giving counter-trend signals - for example, overbought in the context of a longer-term downtrend, or oversold within an uptrend. Like most contrary indicators, oversold readings during a declining market can continue to become more oversold as the trend persists.
Generally, however, readings which exceed one of the green or red bands on the chart (1 and 2 standard deviations from the recent mean) can be considered extreme and indicate that the trend may be becoming exhausted.

http://stockcharts.com/c-sc/sc?s=$TRIN&p=D&st=2001-06-02&en=2002-01-02&i=p34158860554&a=112504042&r=3648.png

Edited by Rogerdodger, 21 July 2007 - 06:50 PM.

[ogm]

Exactly as I thought. Generaly high TRIN, with multiple 2+ spikes. And those spikes didn't do much for the market. Especcialy noticable during the August Spetember period , a series of spikes just before big swoon. BTW, VIX is in an uptrend too. And 17 isn't really that big of a deal. Now 30+, that would be different. Been a while since we saw those kinds of readings. 17 is nothing.Besides it looks like a bullish triangle or flag or whatever y you want to call it on VIX chart. So maybe 30+ isn't that far fetched I think we'll have a very fast sharp decline, that will convience a lot of people that we're entering a new bear market and generate some real fear. After that we'll continue upwards for another few month. Then we'll set up for a real bear market.

Edited by ogm, 21 July 2007 - 07:15 PM.

[crestdorf]

I beleive the new short sale rule has had an effect on cummulative tick #'s. My measurements have been out of wack since the rule came into effect. Like the changes I saw after decimization, I think one must be careful about drawing conclusions this early in the rule change, at least with Tick. As well, the newish "dark pool" trading firms also are having an effect on tick measurements....sadly everything changes.

[arbman]

Rodger, the tick readings might be getting extremely low readings quicker now since the up tick rule was abolished...

[emdee]

TRIN vs SPX Yearly Charts 2000-2007:


http://stockcharts.com/c-sc/sc?s=$TRIN&p=D&st=2000-01-01&en=2000-12-31&i=p38184060596&a=112504829&r=2824.png

http://stockcharts.com/c-sc/sc?s=$TRIN&p=D&st=2001-01-01&en=2001-12-31&i=p33066113619&a=112504816&r=7859.png

http://stockcharts.com/c-sc/sc?s=$TRIN&p=D&st=2002-01-01&en=2002-12-31&i=p92125546787&a=112504815&r=7259.png

http://stockcharts.com/c-sc/sc?s=$TRIN&p=D&st=2003-01-01&en=2003-12-31&i=p27625962789&a=112504656&r=3217.png

http://stockcharts.com/c-sc/sc?s=$TRIN&p=D&st=2004-01-01&en=2004-12-31&i=p28494955666&a=112504655&r=6190.png

http://stockcharts.com/c-sc/sc?s=$TRIN&p=D&st=2005-01-01&en=2005-12-31&i=p13548479178&a=112504653&r=8451.png

http://stockcharts.com/c-sc/sc?s=$TRIN&p=D&st=2006-01-01&en=2006-12-31&i=p19569436200&a=112504549&r=6515.png

http://stockcharts.com/c-sc/sc?s=$TRIN&p=D&st=2007-01-01&i=p43598388828&a=112517272&r=6236.png

[Rogerdodger]

Let me be a bit clearer in what I'm trying to accomplish with the tick chart as I have posted it.
A daily $TICK chart simply shows the last second closing tick of a 6 1/2 hour day.
Nearly all of the day's activity is totally ignored.
I'm trying to get close to Mark Cook's Cumulative Tick without doing the math:

The cumulative tick indicator was invented and made famous by the market wizard, Mark D. Cook. Since the indicator is proprietary, Cook hasn't divulged its exact calculation but he has mentioned that it is a cumulative measure of tick for n days. Tick, of course, being the measure that tells us the net of all upticks minus downticks at a given time. Cook ignores readings between +/-400 and keeps a running total of ticks outside this threshold, adding them together at fixed time intervals. If you're interested to find out more, read Stock Market Wizards by Schwager.

(Taken from a 2006 Blog)

First, separate the noise from the signal by ignoring any tick readings within the +/-400 range. We then record and aggregate those readings outside this range at a fixed time interval. We don’t know exactly what interval Mark uses so just pick a time interval: minute, hour, day, etc. The important thing is to be consistent. That’s it! Now you have the super secret Mark D. Cook, Cook Cumulative Tick Indicator. So what do you do with it? Watch the 95th and 5th percentile. If the Cumulative Tick Indicator is above the 95th percentile, sell; if below 5th percentile, buy.

Remember, this is a counter trend strategy so the more extreme the tick, the more vicious the snapback. As with all counter trend strategies, mind your protective stop loss! A trend can persist much longer than you can remain solvent. Never try and be a hero by playing chicken with the market.

But what if you don’t have access to such tick data? You can estimate the cumulative tick by calculating a simple moving average. This won’t be the same as Cook’s Cumulative Indicator, but it is still helpful:

(Taken from 2007 Blog)




The author of this blog recommended using the 5dma of tick.
It also looks like we are very oversold.
http://stockcharts.com/c-sc/sc?s=$TICK&p=D&yr=1&mn=4&dy=0&i=p59761940704&a=112527926&r=6119.png


Here it is during the 2001 sell off & bottom.
Extreme highs seem to find tops, extreme lows find bottoms.
http://stockcharts.com/c-sc/sc?s=$TICK&p=D&st=2001-06-01&en=2001-12-31&i=p55607203659&a=112527974&r=789.png

Edited by Rogerdodger, 22 July 2007 - 01:00 AM.

[traderpaul]

Roger, That was the olden days that took 12 1/2 cents for the tick to change.....The player were mostly individual investors......Now, you have program trading.....No up ticks require for shorting........Takes one cent for the tick to change.....Not sure that will work in today's market.....8 tracks sounded great in your car back then,.... now you have mp3 players.....

[Rogerdodger]

I'm loving all the skepticism.

In fact, Mark Cook himself is calling for a 29% market fall.
But...he has been all year.

As for the good old days, how about this call in March 2007:


Trade Like Mark D. Cook: The Cook Cumulative Tick Indicator

"The cool thing about this indicator is that it is quite accurate in pinpointing tops as well as bottoms (see how an oversold extreme in tick flagged the May 2006 bottom). After all, it is an almost real time snapshot of the market’s pulse, racing from greed to fear and back again.

Lets take a look a the recent action in this approximation of the Cumulative Cook Indicator. In early March 2007 it hit an extreme oversold level (-300). If you had any shorts or wanted to press the short side, this was telling you to both lighten up and to think about going long instead.

Then within just a few weeks in mid-March 2007 it reversed and went as high as +500! If you notice, it hit the overbought threshold (+400) when the Nasdaq reached 2450 and stalled. If you were long, it was telling you to lighten up and think about shorting. Remember that this indicator is quite hyper. Either adapt to such short term setups or use a longer moving average to get a more long-term perspective."

Edited by Rogerdodger, 22 July 2007 - 11:12 AM.