Using the Nyse TICK to identify the intraday trend

Point day point day volume days for example two days

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Point +/- Day Point +/- Day
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volume days). For example, two days with dom- inant up volume in the 50-59.99 percent range were followed by days that did not exceed the previous day’s close. The remaining dominant up-volume groups each had only one day that failed to exceed the previous day’s close. For the dominant down-volume days, the market always dropped below the previous day’s close in the 50-59.99 and 60-69.99 percent groups; only one day failed to trade below the previous close in the 70-79.99 percent group, while two days failed in the 80-89.99 percent group. Table 2 shows the average and median price moves by group. The average is the total differ- ences divided by the number of occurrences. The median is the center value of a series of numbers. For example, both the median and average of 1, 2, 3, 4 and 5 is 3; for 1, 2, 3, 4 and 25, the median would still be 3, while the average would be 7. If the average is higher or lower than the median, the data is biased in that direction, which indi- cates a few outliers, or out-of-character readings, exist. In Table 2 the average rise after up-volume dominant days for the 50-59.99 percent group was 9.16 points, while the median was only 6.00, indicating an upside bias. In Figure 1 there are a few values that are four to five times the size of most of the other values. For the dominant down-percentage values, the number is larger, which is interesting because the analysis period was not dominated by a bear trend. For the 80-89.99 percent dominant up-volume group shown in Figure 4, most of the values cluster above and below 5 points, while a single value exceeds 40 points. This move occurred on Oct. 10, 2002, a reversal day after the S&P 500 made a new low for the three-year bear market. If we remove this value, the average move drops to 5.4 points and the median stays at 6 points. Table 2 conveys the market is likely coming out of congestion when the up or down volume is in the 50-59.99 percent range because of the more significant follow-through price move- ment. By comparison, when the up or down volume percentages reach 80 percent, the statistics imply the market has reached an overbought or over- sold state — notice the follow-through in the direction of the dominant volume is much lower. However, just because the market has reached an overbought or oversold state does not mean the overall trend is reversing. The study only addresses the next day’s price behavior. 46 December 2003 • ACTIVE TRADER FUTURES OPTIONS continued Trading Strategies Trading Strategies & 1 3 5 7 9 11 13 15 17 19 21 23 25 27 45 40 35 30 25 20 15 10 5 0 FIGURE 6 DOMINANT DOWN VOLUME: 60-69.99 PERCENT All days after relative down-volume readings between 60 and 60.99 percent made lower lows, but the average losses were smaller than those in the 50-59.99 percent group.
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  • Spring '10
  • mindyyao
  • TRADING 101, active trader

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