I been working on system using the NYSE Tick and Nasdaq Tick for past 21 months among others. I devised risk management unit as years gone by, it is a separate entity. I am nearing the end of back/forward testing past 15 years. I have fiddled with NYSE Tick for approx. 30 years, the Advancers/Decliners always worked better for longer or swing trading.
I discontinued applying +/- extremes as found it showed full losses as in number per week in scalping to be greater than I desired and often weeks go by and no trades happen or very few and they were no better than flipping a coin for me as a scalper. I have discovered patterns that re-occur and recently discovered a way to discontinue taking trades at "ends" (market has to have traveled 7-10 points in normal volatility to define "possibility") of a trend and then certain pattern develops to show not to take more signals. I rate signals not in minutes but how many seconds to target, no signal should last more than 90 seonds
Had to finally use "ATR" to expand targets/risk into a scalping system. The NYSE Tick often times leads the ES and it should cause ES is a future and not a stock, but that does not mean when NYSE Tick turns the ES follows.
I decided to change my way of thinking this time around, whereas ES is unlimited movement, and I now look at the TICK as defined movement similar to RSI boundaries from 100 to 0. When Tick goes extreme it pegs out at 100 or 0, signals shut off at those extremes for me.
I have discovered four re-occurring patterns and using risk management tools shows very workable within my parameters of lessen losses, system shuts off once one loss happens then waiting period ensues.
It been fun doing this as it is with other system that takes signals off a different cash index other than S&P500 to trade ES. But as far as trading it like most of the books show, I stayed away from how retail would trade it. Divergences showed unacceptable intraday drawdowns, it is not a system to take any counter trend trades, like the old phrase "Trend is your Friend".
I don't see NYSE Tick to make decent moves of points unless volatility is way up and of course risk way up as well like in 5 points which is HUGE for a scalper. And I don't see usefulness above 3 minute timeframe, but others may have found ways to use larger timeframes.
Trin seems to work better as a Swing indicator on daily bars.
I use "Advancers/Decliners" as more of a fundamental reasoning, like the same as Transportation Index and unemployment stats. When more lines up can give truer picture, but still up to the trader on what to do.
