7 replies to this topic

[Rogerdodger]

This is not exactly the same as Mark Cook's tick indicator, but it usually mirrors fairly closely.
It's a 5dma of the tick.
Man it's low today, and has been below -400.
Mark Cook has been bearish for some time.
But he always says this tends to act like a rubber band.
When it gets stretched too far, it snaps back...at some point.

Notice also a change in character beginning at the end of July.

"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."
With that in mind, look at the November Tick low. Price was not finished on the downside!

http://stockcharts.com/c-sc/sc?s=$TICK&p=D&yr=2&mn=0&dy=0&i=p45679044129&a=112527926&r=7921.png

Edited by Rogerdodger, 20 December 2007 - 01:47 PM.

[Rogerdodger]

I discussed this in an earlier post: LINK

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 which speaks for itself in the charts above.

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.

[slatedrake]

Something I've been looking at...

http://stockcharts.com/c-sc/sc?s=$TICK&p=D&yr=4&mn=11&dy=0&i=p52123720031&a=118266165&r=5317&.png

[Rogerdodger]

WOW!
Can anyone say: "Sub-Prime mortgage defaults"?

[denleo]

The shift was caused by a new rule allowing shorting on a down tick. Indicator needs to be adjusted. But regardless of adjustments, my cumulative tick, which is similar to Mark's, is short-term oversold. Denleo

[Rogerdodger]

The shift was caused by a new rule allowing shorting on a down tick. Indicator needs to be adjusted.

But regardless of adjustments, my cumulative tick, which is similar to Mark's, is short-term oversold.

Denleo

Good point.
I forgot about that change.
VIX picked up quite a bit then also.

[atlasshrugged]

Roger,, i dont mind you trying to creat a rally as i need nq's to hit 91 and es to fill the gap at 78.... i just need you to shut your friggin mouth after that or start posting negative [bleeeep] deal?

[Rogerdodger]

i just need you to shut your friggin mouth after that or start posting negative
[bleeeep]

deal?

Are you the wise guy who hacked into my cable yesterday after I posted this?
I've been off line until now.
I get the point.




CRASH ALERT!

Edited by Rogerdodger, 21 December 2007 - 10:21 AM.