GDX Shines, IWM Sleeps - August 23, 2011

[Billy]

Forum Clusters 110823.xlsx

We didn’t have to wait long for GDX to finally break decisively above SR1 and QR1 (62.12). This sets the stage up for a potential target to SR2 and QR2 (69.65). The only two floor resistances left before this target are WR3 (65.64) and MR2 (65.90), clustering together mid-way with a strength (7) less than half the one from the first support cluster (17). One could not dream of a better looking multi-pivot structure in favor of long positions. The robot could raise once again the trailing stop (58.53) just below its initial entry price of 58.96. This GDX trade really looks like another big winner in the making and should compensate for our patience with IWM.




For IWM, there is nothing much that I can add to my recent comments, and the multi-pivots outlook is unchanged from yesterday. Anything can happen with equal probabilities and cash is king. The 20 DMF was flat yesterday, indicating lack of buying and selling pressure by large players. The cumulative TICK was strongly negative all day, indicating that HFT programs were biased to sell into strength. With the Jackson Hole speech on Friday, the whole week might look like a very long Fed Day where short term noise means nothing until the final announcement.
Billy

[Rembert]

Billy, I've got a question about cumulative TICK.
Is it fair to say that this indicator is more trending and less choppy then actual price ?
It seems that way, but stockcharts doesn't have enough historical intraday data to say for sure.

How long have you been using this tool ?

[Billy]

Billy, I've got a question about cumulative TICK.
Is it fair to say that this indicator is more trending and less choppy then actual price ?
It seems that way, but stockcharts doesn't have enough historical intraday data to say for sure.

How long have you been using this tool ?

Rembert,
I’ve been using this tool as far back as I can remember, but it became very reliable around 2007, coincidentally with the rise of HFT. I intensified my use of it after reading blog posts by Dr. Steenbarger (Traderfeed.com) and Rennie Yang (Markettells.com) among others who also used it to monitor program trading. But they only looked at intraday cumulative TICK within a one-day window. Being more of a trend-follower, I started to watch multi-days windows and the half-day, full-day and 10 hour moving averages came naturally as the best trending indicators. I introduced my findings sometimes around end of 2008 in the old VIT group. But it was just one indicator among others until I realized that all my worst discretionary trades were entered against the cumulative TICK trend. Today, it is almost the only indicator that I check before entering any discretionary index ETF trade. Even if my multi-pivot setup is perfect, I’ll only enter if the HFT programs – or cumulative TICK- are on my side. And I tend to exit as soon as I see the cumulative TICK reverse its trend. The performance improvement has been amazing.
So, you are right, this indicator is more trending and less choppy than actual price. Its main drawback is that it can easily be distorted by large opening gaps, but you quickly get used to adjust mentally for the gaps.
As I write, cumulative TICK is testing the half-day average, so I quickly go back to monitor potential discretionary entries.
Billy

[Rembert]

Thanks Billy. Another usefull tool to add to my trading arsenal. It's a bit like VWAP. At first everybody used it only for intraday trading until some people noticed it is also usefull on a longer timeframe.

[Billy]

Thanks Billy. Another usefull tool to add to my trading arsenal. It's a bit like VWAP. At first everybody used it only for intraday trading until some people noticed it is also usefull on a longer timeframe.

It is even more powerful than VWAP at times of record high correlation among all stocks like now.
Today's development is very interesting and important on this IWM pullback while cum TICK is testing now the full-day average, holding above the half-day, and making a positive divergence with price.
Price itself is holding above intraday VWAP. This could be the first clues that a double bottom has been successfully tested. If only we had a RT 20 DMF to see what large players are doing RT!!!
Billy

[EB]

Cume Tick on NYSE and Russell 2000 have exploded, and have both now crossed over the MAs that Billy watches (calculation in below is performed on a hidden stream of 1 min data).

[jt12]

EB is that a TS chart? Tried to replicate Billy's cumulative tick but couldn't do it on TS.
Thanks.

[EB]

EB is that a TS chart? Tried to replicate Billy's cumulative tick but couldn't do it on TS.
Thanks.

I described how to set up this chart in the GGT forum here.

[jt12]

Thank you EB. I will try to do a better homework next time :)