Jun
28

Beyond Tick16 – TICK1K, TICK1KP, TICK90SP

I have been asked many times how to construct tick based real-time breadth useful for timing the indices. Here are a few of my favorites.

User Preference Settings

To construct Tick1K efficiently, open the User Preference window under the Program menu.

Under Real-time tab, you will find the Tick Level Statistics option
Change the settings to Enabled, Max Tick Size 3072, TickN 1024

User Preference_20100628_103523

Tick1K

Tick1K is like Tick16, but instead of using the last 16 ticks, Tick1K uses the last 1024 ticks for data collection.

To define the NeoBreadth definition, open the NeoBreadth Manager under the Manager menu.

Name the definition TICK1K

The real-time formula is,

TickN

The historical formula is,

tptickn (0, data1, 1024, "UD", "N Tick", "Day Change")

Bar type Sec, Bar Size 1, Days to Load 1, and enable Tick Replay

then add the breadth symbols you like to track.

I usually track the S&P 500 and NDX 100, thus I name them SP_TICK1K and ND_TICK1K respectively.

The Type for the breadth symbols is Avg.

Tick1KP

Tick1KP is the percentage of symbols giving positive reading in Tick1K.

The real-time formula,

TickN > 0

The historical formula,

if (tptickn (0, data1, 1024, "UD", "N Tick", "Day Change") > 0, 1, 0)

Bar type Sec, Bar Size 1, Days to Load 1, and enable Tick Replay

When you define the breadth symbols, set the type to Pct.

I name mine ones as SP_TICK1KP and ND_TICK1KP.

Tick90SP

Tick90SP is the percentage of symbols giving a positive reading on the ticks accumulated over the last 90 seconds.

The real-time formula,

tpticknsecex.p1 (0, m390:6, 90, "UD") >= 0

The historical formula,

tpticknsecex.p1 (0, data1, 90, "UD") >= 0

Bar type Sec, Bar Size 1, Days to Load 1, and enable Tick Replay

When you define the breadth symbols, set the type to Pct.

I name mine as SP_TICK90SP and ND_TICK90SP.

How do they look like in the chart?

Here is a chart of these 3 tick based breadth indices vs. the Emini S&P.

TICK1K TICK1KP TICK90SP_20100628_114913

A combination of either TICK1K + TICK90SP or TICK1K + TICK1KP gives the trader the ability to identify if possible turn in real-time is coming. They have the strength of the normal $TICK index with none of its weaknesses that was caused by the increase in trading volume.

Why not using second bars or n-tick bars in the real-time formulas?

Using second bars or n-tick bars in the real-time breadth formulas would eat up too much memory and does not change a thing in terms of the collected statistics and calculated results. The TickN and tp indicators in the context of the usage here does not need any bar to bar information from the underlying data series, thus using 390-min bar as in the formulas shown above work perfectly fine and save memory usage.

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