TICK Flat Price Rises How Do They Do This?

[Tasuki 10]

This is a painfully simple question---price rises, TICK (advancing issues minues declining issues) remains flat. How do they do this? If price is going up, you'd think there would be more buyers than sellers, which you'd thnk (well, I would think) would mean that there were more advancing issues than declining issues, so the $TICK should go up as price goes up. But it doesn't always work that way, strangely. So, how come price is rising but there are no more buyers than sellers? The more general way of stating this question would be---why does the $TICK sometimes give false signals?

Thanks, Tasuki

Edited August 2, 2012 by Tasuki

[BlueHorseshoe 10]

Hello,

 

There are various possible answers to your question . . .

 

1. Firstly, what 'price' are you talking about? You seem to be charting the ES. The ES/S&Ps track 500 stocks, whereas the $TICK symbol tracks, if I remember rightly, over 3000 stocks - pretty much everything that trades on the NYSE in fact. There is no real reason to expect on to perfectly follow the other.
    
   
2. Looking at your chart, I'm not sure if your question is more literal? The $TICK is an aggregate of said stocks; therefore it is banded (rather like an oscillator such as the stochastic or RSI). The maximum value that it could possibly assume would be that of all the stocks it contains (so something like 3000). Similarly it has a minimum value. The ES doesn't have a maximum value (though it does have a minimum). Remember, the $TICK is just the number of stocks that are ticking up or down, not how much they're up or down by - the market obviously reflects how much they're up or down by.
    
   
3. There are other complications connected to how the $TICK is calculated, but I can't remember them. There was a great Steenbarger blog post on TraderFeed about the $TICK though - try googling for it?
   

Finally, I'd be very careful about how you use the $TICK in your trading - I've tried to build all sorts of strategies around it and never found anything that showed much of an edge.

 

Hope that helps,

 

BlueHorseshoe

[wrbtrader 10]

  Tasuki said:

This is a painfully simple question---price rises, TICK (advancing issues minues declining issues) remains flat. How do they do this? If price is going up, you'd think there would be more buyers than sellers, which you'd thnk (well, I would think) would mean that there were more advancing issues than declining issues, so the $TICK should go up as price goes up. But it doesn't always work that way, strangely. So, how come price is rising but there are no more buyers than sellers? The more general way of stating this question would be---why does the $TICK sometimes give false signals?

Thanks, Tasuki

 

Your chart does not correlate with your question. The $TICK in your chart is not flat. In fact, it moves ABOVE and BELOW (back n forth) to the zero. In fact, I measured, the $TICK had more ticks ABOVE the zero line that correlates to your rising blue trendline you've drawn along the higher price lows on your chart. To be exact, since 1155hr on your chart, the $TICK spent 2.5x more above the zero line than below the zero line.

 

Simply, it seems like you're having problems visually comparing the $TICK subgraph to the price chart that's above it.

 

By the way, I trade the Emini futures too. The $TICK is great to help with price direction analysis. For example, if the $TICK spent most of its time ABOVE the zero line...I would ignore any Short signal I got and instead concentrate on any Long signal that may appear. Yet, I don't use the $TICK for trade signals. I tried and couldn't find any usefulness that way except for using it for price direction analysis as mentioned.

Edited August 3, 2012 by wrbtrader

[ns6 10]

  BlueHorseshoe said:

Finally, I'd be very careful about how you use the $TICK in your trading - I've tried to build all sorts of strategies around it and never found anything that showed much of an edge.

 

 

So did I. Stopped wasting time after a while. Probably no algorithmic strategy possible with it. It maybe helpful in discretionary, if somebody finds it useful.

[bakrob99 11]

  ns6 said:

So did I. Stopped wasting time after a while. Probably no algorithmic strategy possible with it. It maybe helpful in discretionary, if somebody finds it useful.

 

I treat it like an oscillator and use divergences which are quite reliable to signal the end of a trend and the start of a new one

[jazzyjrfl 10]

No sure if this helps at this point but as mentioned above $TICK is based on a different basket of underlying stocks than the ES contract. In Tradestation, the $TIKSP is similar to the $TICK but it is baed on the 500 stocks comprising the S&P 500 (same as the ES contract). I used to only watch the $TICK, now I watch both. Many times they move in unison but many times they do not.

[Tasuki 10]

  bakrob99 said:

I treat it like an oscillator and use divergences which are quite reliable to signal the end of a trend and the start of a new one

 

That's mostly how I use the TICK myself. If I suspect that a new trend is starting but the TICK remains bearish, I won't attempt a long. This is why I was so surprised to see the TICK not rising as price rose (see my chart). However, as wrbtrader pointed out, the TICK did spend most of its time above zero---I was just expecting it to rise along with price (it does, sometimes), and as Bluehorseshoe noted, the correlation between the ES and the TICK is weak at best, so I was expecting too close of a correlation.

 

Thanks to everyone for your fine critiques of my query.

 

Tasuki

[onesmith 10]

  Quote

why does the $TICK sometimes give false signals?

The implied strategy is trying to exploit something that isn't an edge in it's present formulation.

 

  Quote

correlation between the ES and the TICK is weak at best

The ability to discern strong correlation in weak data is a viable skill well worth the effort it takes to acquire.

[ForexTraderX 10]

  BlueHorseshoe said:

 

 

Finally, I'd be very careful about how you use the $TICK in your trading - I've tried to build all sorts of strategies around it and never found anything that showed much of an edge.

 

Hope that helps,

 

BlueHorseshoe

 

Really? how about in a "trendless" or "ranging" or "choppy" day, the ES makes a new high, but the TICK and the NQ fail to make a new high... it's a pretty darn good signal to short the ES. If it's the NQ that makes a new high, but both the ES and the TICK fail to make a new high, then short the NQ. One can often pick the high or low of the day this way (regular trading session of course).

 

It doens't work if you have a very strong move that day, either up or down. But in ranging or otherwise trendless conditions, it works great. I imagine one could use an ATR calculation to determine if it's a range expansion day, as well as maybe wait to trade such strategies until after the first hour establishes market tone, and don't trade if it's been a very obvious bullish or bearish first hour, but...yea, i actually used it just the other day in fact.

 

Oh, combine with the TRIN as well for better signals. Trin above 1.1, Tick fails to make a new high, ES makes a new high, short it. TRIN below 0.9, TICK fails to make a new low, ES makes a new low, go long, etc.

[Tradewinds 12]

It's true that the $TICK is not perfectly correlated with price moves. I have not found anything that is perfectly correlated with price moves. Here are some Tradestation ticker symbols:

 

• $TICK - NYSE all stocks
  
• $TCKSP - SP500
  
• $TICKC - Composite $TICK across different exchanges
  
• $TIKI - DOW stocks
  

 

• $ADVI - DOW Advancing Issues
  
• $DECLI - DOW Declining Issues
  
• $ADV - NYSE Advancing Issues
  
• $DECL - NYSE Declining Issues
  

 

• $UVOL - NYSE Up Volume
  
• $DVOL - NYSE Down Volume
  
• $UVOLSP - SP Up Volume
  
• $DVOLSP - SP Down Volume
  
• $UVOLI - Dow Up Volume
  
• $DVOLI - DOW Down Volume
  
• $AUVOLI - Dow Alternative Up Volume
  
• $ADVOLI - DOW Alternative Down Volume
  

 

There is also data for AMEX, NASDAQ, Russell, SP400, ARCX, OPRA.

 

As far as using the $TICK, or any of the internals data as indicators, it's not just a matter of simple divergences. There could be a higher $TICK high at a peak, instead of a lower $TICK high, but a lower CLOSE on the $TICK at the peak. There could be a higher $TICK high, but a divergence on the Advance/Decline. There are many possible combinations. There are patterns that are reliable. A decision also needs to be made about what might take priority. If there is a huge divergence on volume, I might use that as the most valid signal.

 

Here is an example of a VOL divergence today. The DOW volume has just gone positive, and had a higher low, the price of the YM went lower. Right at that point, at 11:15am the price of the YM goes into an uptrend.

 

So there is a divergence. Price went lower, DOW volume did not go lower.