Scalping Using NYSE Tick
- Thread starter acroreef
- Start date
Sorry things aren't that simple. You read that from vendor "rainbow" merchants.
I rarely watch TICK even.. lol I never even look at it!! But when I did use it.. I'd get long when TICK over 1000 because it would portend usually a strong trend day. There may be an edge on fading tick extremes on range days.. that's like saying that selling tops and buying bottoms works on range days.
I'm not saying the TICK isn't worthwhile and I'm not claiming that it doesn't have an edge. I believe I found an edge with it once. I'm just citing that your approach to thinking about trading is too narrow and your thinking of how to use it is limited. Start broad then go narrow.
Dr. Steenbarger used the TICK to track for divergences. I believe Chan ?here from Tickquest also wrote an article on the TICK and how it has changed. Don Miller fades TICK values of I think 900 to 1200.
The primary way I used TICK was if they were clustering of +1000 reading then it gave me better confidence to get long for a trend day.
So lot of traders have used it... give it a try.
Ideas:
* Track tick using a moving average and watch for divergences
* Track tick reading early in morning for possible trend development
* Indeed fade tick extremes on range days
* Perhaps try to build a better tick
I rarely watch TICK even.. lol I never even look at it!! But when I did use it.. I'd get long when TICK over 1000 because it would portend usually a strong trend day. There may be an edge on fading tick extremes on range days.. that's like saying that selling tops and buying bottoms works on range days.
I'm not saying the TICK isn't worthwhile and I'm not claiming that it doesn't have an edge. I believe I found an edge with it once. I'm just citing that your approach to thinking about trading is too narrow and your thinking of how to use it is limited. Start broad then go narrow.
Dr. Steenbarger used the TICK to track for divergences. I believe Chan ?here from Tickquest also wrote an article on the TICK and how it has changed. Don Miller fades TICK values of I think 900 to 1200.
The primary way I used TICK was if they were clustering of +1000 reading then it gave me better confidence to get long for a trend day.
So lot of traders have used it... give it a try.
Ideas:
* Track tick using a moving average and watch for divergences
* Track tick reading early in morning for possible trend development
* Indeed fade tick extremes on range days
* Perhaps try to build a better tick
Try this:
Wait for the market to show whether it's likely to be a trend or a range day.
If a bullish trend day (reverse for shorts), then buy on relative extreme negative TICK readings (on trend days, negative TICK readings will be less pronounced than positive ones).
If a range day, as Lucias pointed out, fade extreme TICK readings <i>at the edges of intraday ranges</i>
Pick your targets, based on 1' ATR - and measure them from the extreme price reached, not from your entry!
Lucias also mentioned building a better TICK. I think it was Dr. Steenbarger who developed a TICK based on the highest volume stocks. Try searching his web.
And NEVER enter a long trade simply because TICK is at -800, -900, etc. as it can go to 1000, 1200, 1500...
Wait for the market to show whether it's likely to be a trend or a range day.
If a bullish trend day (reverse for shorts), then buy on relative extreme negative TICK readings (on trend days, negative TICK readings will be less pronounced than positive ones).
If a range day, as Lucias pointed out, fade extreme TICK readings <i>at the edges of intraday ranges</i>
Pick your targets, based on 1' ATR - and measure them from the extreme price reached, not from your entry!
Lucias also mentioned building a better TICK. I think it was Dr. Steenbarger who developed a TICK based on the highest volume stocks. Try searching his web.
And NEVER enter a long trade simply because TICK is at -800, -900, etc. as it can go to 1000, 1200, 1500...
good posts lucias and picaso.
I use suri's CMI(combined mkt internals) and look for divergences. I don't find looking at raw TICK data useful. I have looked at this quite a bit, NYSE TICK I find the best, even better than NYSE Cumulative TICK...
CMI is only for tradestation, but you may be able to create your own for other platforms. I tried to make my own, but not much luck, suri said he spent many years figuring out the algo combination.
http://www.surinotes.com/index.cfm?CSEL=6002&THISPROD=CMI
Combined Market Trend of Internals of $ADV, $DECL, $TICK, $TRIN, $ESINX, XLF, SPY in Real-Time.
I use suri's CMI(combined mkt internals) and look for divergences. I don't find looking at raw TICK data useful. I have looked at this quite a bit, NYSE TICK I find the best, even better than NYSE Cumulative TICK...
CMI is only for tradestation, but you may be able to create your own for other platforms. I tried to make my own, but not much luck, suri said he spent many years figuring out the algo combination.
http://www.surinotes.com/index.cfm?CSEL=6002&THISPROD=CMI
Combined Market Trend of Internals of $ADV, $DECL, $TICK, $TRIN, $ESINX, XLF, SPY in Real-Time.
I would definitely recommend putting a moving average on the tick. I personally prefer a 5 period simple MA, & I use the closing tick as opposed to the OHLC. I've experimented with different time frames, exponential vs. simple, and close vs. OHLC. Keep it simple. Caveat emptor: it is not the holy grail.
I built this tick divergence indicator for ThinkOrSwim. This is how Dr. Steenbarger used it.
http://tosindicators.blogspot.com/
I do not use this. My preference for indicators now is only indicators that give a measurable advantage. I don't want to be busy watching squiggly lines. But, I have to build these indicators, yet. I'd rather get a clear signal with clear implications. Low bandwidth, high information, low misinterpretation probability, measurable advantage...
http://tosindicators.blogspot.com/
I do not use this. My preference for indicators now is only indicators that give a measurable advantage. I don't want to be busy watching squiggly lines. But, I have to build these indicators, yet. I'd rather get a clear signal with clear implications. Low bandwidth, high information, low misinterpretation probability, measurable advantage...
Learn to trade individual stocks and not the overall market. No body at any of the firms Ive worked at made money trading the spy, qqq's, emini's etc. There is no real edge to it. Unless you are a arb trader. The money is made in trading the individual stocks that are in play that day. Tick, Trin, technical analysis are all for retail investors. Real traders dont use them. Except for simple support/resistance.
Lmao youve got to be kidding me.
The biggest traders, managers, hedgies use either the SPY or ES to enter their largest positions....
This is a complicated picture but I think there is some truth to what he's saying and what you're saying too. I trade 99% the futures because I call the entire direction. It works for me but I think there probably is a bigger "edge" in stocks but let me back up...
E-minis - Favored by retailers
I think the best game for retail trader is in the e-minis. No PDT rule, plenty of leverage, no stock specific risk and 24 hours markets. My mentor, Gary Smith, started with the e-mini and my other Dr. Steenbarger also traded them. For me, I think its the best thing that suites my personality. I haven't looked at a stock in years except to gauge the index. I see it as a great way to trade. However, I agree that developing an edge in this market is very difficult. It is a great game and probably the best game for the retailer.
Stocks - Favored by props
There are more games to play in stocks for sure. There are pairs or statistical arbitrage and Maverick wrote about the unique edge that is only possible by tape reading for NYSE listed stocks. It is possible to take a fundamental view or play a relative strength with more precision then futures, as well.
Don't get me wrong: I think that trading the S&P is my favorite game. It is the game I enjoy it and would rather trade it then anything else (or a limited risk/reward proxy that tracks it). Sometimes though, I get an idea that isn't possible with the futures only -- trading the ETFs really opens up the possibilities for relative strength plays. So lot good with e-mini and ETF trading.
.... but....
I do wonder about things. I figure a great stock trader with prop backing would have much better return potential then a great spoo trader. But the spoo trader can trade huge size. Plus, a lot of stock traders are gimmick traders who I doubt have really developed an ability to trade, i.e such as rebates.
My opinion is that stocks are best left to proprietary traders. Plus, there is a tendency to always think the grass is greener on the other side. I mean you'll hear traders talk about their great index trading 10 years ago --same goes for the props at stocks..
I wonder also if some of those stock specific edges such as NYSE tape reading are on the way out (or done and gone?) and that is why we've seen some of those traders/props turn to offering education? Also, of course, most props want to make money from commissions which isn't possible if a trader goes to futures.
E-minis - Favored by retailers
I think the best game for retail trader is in the e-minis. No PDT rule, plenty of leverage, no stock specific risk and 24 hours markets. My mentor, Gary Smith, started with the e-mini and my other Dr. Steenbarger also traded them. For me, I think its the best thing that suites my personality. I haven't looked at a stock in years except to gauge the index. I see it as a great way to trade. However, I agree that developing an edge in this market is very difficult. It is a great game and probably the best game for the retailer.
Stocks - Favored by props
There are more games to play in stocks for sure. There are pairs or statistical arbitrage and Maverick wrote about the unique edge that is only possible by tape reading for NYSE listed stocks. It is possible to take a fundamental view or play a relative strength with more precision then futures, as well.
Don't get me wrong: I think that trading the S&P is my favorite game. It is the game I enjoy it and would rather trade it then anything else (or a limited risk/reward proxy that tracks it). Sometimes though, I get an idea that isn't possible with the futures only -- trading the ETFs really opens up the possibilities for relative strength plays. So lot good with e-mini and ETF trading.
.... but....
I do wonder about things. I figure a great stock trader with prop backing would have much better return potential then a great spoo trader. But the spoo trader can trade huge size. Plus, a lot of stock traders are gimmick traders who I doubt have really developed an ability to trade, i.e such as rebates.
My opinion is that stocks are best left to proprietary traders. Plus, there is a tendency to always think the grass is greener on the other side. I mean you'll hear traders talk about their great index trading 10 years ago --same goes for the props at stocks..
I wonder also if some of those stock specific edges such as NYSE tape reading are on the way out (or done and gone?) and that is why we've seen some of those traders/props turn to offering education? Also, of course, most props want to make money from commissions which isn't possible if a trader goes to futures.
You can make money (or lose it) trading futures
You can make money (or lose it) trading stocks
You do not make money disparaging [other] traders unless you're a talking head on TV (and even then, not that much)
Anyone who talks about how real traders only trade THIS or THAT way is nothing but a troll who should be put on ignore
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Nice job on the indicators, Lucias, regardless of whether you've found some other simpler way to trade that works better for you
You can make money (or lose it) trading stocks
You do not make money disparaging [other] traders unless you're a talking head on TV (and even then, not that much)
Anyone who talks about how real traders only trade THIS or THAT way is nothing but a troll who should be put on ignore
---
Nice job on the indicators, Lucias, regardless of whether you've found some other simpler way to trade that works better for you