Working towards a 20min TRIN System

B

BellWeather

Let me preface by saying that I don't use the TRIN indicator for trading. Know many do use it, it is a valuable tool, but also recognize too that the values have become skewed by certain stocks and volume. I will let the veteran traders chime in on this.

This is just a trading idea. Very rough. May or may not work. Not backtested. Not even watched in realtime. Refinement, input, feedback to become tradeable or off to the trash can. Let the ET fun begin!

Setup the chart and the one indicator from this website:

http://www.freestockcharts.com/ (I am in no way affiliated with this site!)

Type in TRIN, pop up box will appear for the different symbols, looking for $TRIN. Switch to view "Today" data from bottom middle of chart. Should plot 1 minute data. Upper left hand corner is a drop down for indicators. Choose RSI - Wilder's. Should default to 14,5 for inputs. Moving the cursor around on the chart should show a data window with the pertinent data.

Onto the idea.

We are looking to pull in values at 20 minute intervals: 9:50, 10:10, etc. Moving the cursor to the 9:50 bar you will get the data box. We are interested in the TRIN "last" value and the second portion of the plotted indicator: Moving Average 5

>>> 9:50 bar has these values: TRIN Last = 1.51 , Moving Average 5 = 63.38

Looking to take the 63.38 value and to take the first "integer number" rounded up or down from .5. 63.38 > 6.338 = 6. If the value was 66.52 > 6.652 = 7....rounded up.

>>> With these values TRIN Last = 1.51 and 6, we are looking to enter a trade when when TRIN is greater than 1.57 or less than than 1.45(the 6 has become .06). These values do not represent the last price of a bar close but high or low values of the 1 minute bars going forward.

Sometimes the trade will happen on the very next minute bar after the 20 minute interval, 3 minutes latter, etc. Sometimes there will be no trade at all.

Please keep in mind that for this particular symbol from this website, it is delayed data! One reason that I am throwing this idea out to those who use TRIN for trading.

And yes, each data vendor will have different values.

Looking for feedback [+] [-]
 
Since TRIN is a market-wide indicator, have you looked to see if these even-time events correspond with broad indicator movement? Such as if a poor showing on the TRIN typically precedes an S&P 500 downdraft?
 
Quote from Steven.Davis:

Since TRIN is a market-wide indicator, have you looked to see if these even-time events correspond with broad indicator movement? Such as if a poor showing on the TRIN typically precedes an S&P 500 downdraft?
More...

The original concept was to take readings from the ISE Sentiment Index found here: http://www.ise.com/WebForm/viewPage.aspx?categoryId=126

That set up the 20 minute intervals, but the posted data is delayed to the website by 10 minutes. The markets are so manipulated right now by the Fed gas pedal, that traditional sentiment indicators are being sidelined. Will change someday in a big way.

The original post did not outline filters for going long or short from the signals. Was also thinking for the trades taken, a simple profit/loss target or out of the trade after x amount of time or x bars. Some of the signals would be countertrend, some continuation within the trend. Tough to do.

This would be very easy to code up in Tradestation for generating the signals. Canned indicators for filters could be a starting point, but am leaning towards filtering trading signals for long/short from another index.
 
Quote from BellWeather:

The original concept was to take readings from the ISE Sentiment Index ... Canned indicators for filters could be a starting point, but am leaning towards filtering trading signals for long/short from another index.
More...

Pretty sure that you can get the TRIN through your real-time feed without bothering with a website.

Even if not, one can apply a trend metric to each of the components of an index or group such as all actively traded NASDAQ stocks. From there a little correlation analysis will find some closely following stock and indexes.

I did an analysis a few years back that found that the 100 stocks in the NASDAQ 100 follow their index with unnatural precision. With all of the volume in ETFs and all of the long/short funds, the result wasn't too surprising.

It does related to your idea, but there are many ways to play it. For example, one could backtest the idea that if the index is trending up/down, buy all of the components which have been trending down/up. The profit target when then be the point at which they were trending up/down, and the stop loss could be when the index turns around.
 
Quote from Steven.Davis:

Pretty sure that you can get the TRIN through your real-time feed without bothering with a website.

Even if not, one can apply a trend metric to each of the components of an index or group such as all actively traded NASDAQ stocks. From there a little correlation analysis will find some closely following stock and indexes.

I did an analysis a few years back that found that the 100 stocks in the NASDAQ 100 follow their index with unnatural precision. With all of the volume in ETFs and all of the long/short funds, the result wasn't too surprising.

It does related to your idea, but there are many ways to play it. For example, one could backtest the idea that if the index is trending up/down, buy all of the components which have been trending down/up. The profit target when then be the point at which they were trending up/down, and the stop loss could be when the index turns around.
More...


TRIN was always going to be the realtime data. ISE Index was going to be a filter for going long or short. Not feasible. Have many ideas for filtering the trades for going long/short.

Appreciate your thoughts and input. Hope others can contribute also.
 
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