I finally had some time to start reading my copy of Michael Gutmann’s The Very Latest E-Mini Trading, 2nd Edition: Using Market Anticipation to Trade Electronic Futures
. I’ve enjoyed the book thus far and have created a few new indicators as a result. The first is the Cumulative Tick indicator as shown below. This study is designed to run on a 20 day, 5 minute chart of one of the primary futures contracts (/ES, /YM, /TF, /NQ). Each day, the indicator plots the cumulative sum of the NYSE $TICK values. Gutmann uses this chart to determine the type of trading day evolving. The last two days are considered “Unequivocal Trend Days.” The horizontal lines on the indicator represent average values of the cumulative tick at 10:30, 12:00, 13:30, and 15:00 EST. There are separate averages for days with a positive closing cumulative tick and a negative one. By comparing today’s value to the average lines at a given time one can get a sense of the strength of the day’s trend in relation to the historical average. Ideally, we would like to calculate the average value lines over a larger time period than 20 days and a smaller interval than 5 minutes. Gutmann uses a 100 day 1 minute chart for his calculations. Unfortunately, I found the best we could get with TOS was 20 day 5 minute. I’ve also coded up a normalized MACD as described in the book and is shown in the lower image with the Cumulative Tick indicator on the upper subgraph.
Cumulative $TICK
Cumulative $TICK Behind Price with Statistical MACD
Eric, This is REALLY a great study you put together, valuable to anyone who trades the ES. I put it on the charts this weekend and it looks great! It makes it easy to see at a glance over many days how this study correlates with trend days or non-trend days. I actually changed the “Draw as:” function to a fat histogram and it even works better for me. I like it and will be using it right away! Thanks so much!
Great job. Please let us know when you get the NinjaTrader site up. I’m migrating away from TOS.
Eric,
Great addition to an already robust suite of indicators.
When and how will this be available for downloading?
TJ
It is already available in the Pro area of the forum with the latest zip file from Friday.
Thanks, Eric. Found it.
“Unfortunately, I found the best we could get with TOS was 20 day 5 minute.”
Question:
As I interpret what you said above I take that to mean that the data available to this study is 20 day’s with 5 minute intervals but that does not mean the study must be run with those parameters. In other words the study works as well say, for example, on a 3 day 3 minute chart.
Is that correct or must the study, to be accurate, be run on a 20 day 5 minute basis?
Thanks, and thanks again for your huge contribution to the ToS platform.
TJ
The study will work on any intraday chart. However, the period average levels are calculated based on all the available chart data. On a 3 day chart that is not nearly as much data as a 20 day chart. The cumulative tick readings are always correct but a 3 day average of the levels would be suspect. Even 20 days really isn’t enough.
Gotcha … thanks.
So the minimum chart period should be 20 days to get the current maximum accuracy.
Yes?
TJ
Only for the horizontal average at time lines.
I am halfway through Gutmann’s book. Are you considering scripting this for NT7 or just staying with TOS? Thanks.
TOS for now. I will code it for NT sometime this year.