The NYSE Tick Index

SRVs are the heart of our trading system. But to derive SRVs we need historical data. When a security reaches an all-time, such as the E-Mini has done lately, we don’t have the data to create SRVs above that all time high level. So what can we do?

One of my favorite tools in such cases is the NYSE Tick Index. The NYSE Tick Index, TradeStation symbol, $TICK, is a good proxy for the S&P Index because so many of the S%P stocks trade on the NYSE. We find the NYSE TICK Index very helpful for short term trading. I would also emphasize that short term trading here means intra-day trading. The TICK is not very reliable, in my opinion, for anything but very short term trading.

Essentially the NYSE Tick Index is the number of stockstrading UP minus the number of stocks trading DOWN. It can range from a very high positive number to a very low negative number. 1,000 is currently considered a point at which the index might be ready to reverse directions. But it can go higher or lower on occasion, so those numbers are relative.

When we use the TICK we plot it at about 50 ticks per bar, and plot our yellow oscillator, a component of our RMI custom indicator, over the price bars. We often also plot the Bollinger Bands over the price bars as well.

In Addition to using the TICK chart for values above the all time high, we also use it when the SRVs are far apart and the price is trading in the middle range. That is the case I am seeing today.

Figure 1 NYSE $TICK 50 ticks per bar 5-5-2014

The chart above displays the NYSE Tick Index plotted at 50 ticks per bar with our Yellow Oscillator and Bollinger Bands plotted over the price bars. The range n the chart shows values from about +600 to about -600.

The chart was captured at CST just before noon, on 5-5-2014. The use of this chart is complicated, but generally I see the current situation being bullish. I expect the near term value to rise until it reaches the +400 value range. And then reverse and go to a value in the -600 range.

Such a move actually provides a minimal opportunity to trade for our trading methodology as the trading range on the S&P would only be about 12 to 14 ticks. Expecting to capture a maximum of 80% of a move, would give us a possible trade of only about 7 or 8 ticks. With a maximum risk of 4 ticks that is a marginal trade at best.

If things don’t get a bit more volatile, I will be sitting out the afternoon.

 

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