ThinkScripter » TICK

Cumulative Tick

ThinkScripter — Fri, 30 Dec 2011 13:58:38 +0000

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

$TICK Range

ThinkScripter — Wed, 30 Sep 2009 04:27:53 +0000

UPDATE: 27 Sep 2010 – Added alert sound for NHT/NLT.

Here’s one for the folks over at EminiAddict and followers of Dave Halsey’s methods. This study is designed only to run on an intraday chart of the $TICK. The day’s range is indicated by the red and green horizontal envelope. Each new high TICK (NHT) or new low TICK (NLT) will push the envelope lines out giving you a handy reference. Extreme TICK readings above user-selectable thresholds are additionally tagged with a yellow triangle. The white line in the center is a 20 period moving average linked to Bollinger Bands in gray. The chart itself is set to a one minute bar chart. The color of the bars changes in response to the TICK moving average above or below the zero line. I added a TPO Profile to the chart as I found it interesting how symmetrical today’s $TICK distribution was. Enjoy – Eric

$TICK Range

# TICKRANGE
# http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 26 SEP 2010 - Added alert for NHT/NLT

input showOnlyToday = YES;
input Market_Open_Time = 0930;
input Market_Close_Time = 1600;
input tickAveragePeriod = 20;
input bollingerBandFactor = 2.0;

def day = getDay();
def lastDay = getLastDay();
def isToday = if(day==lastDay,1,0);
def shouldPlot = if(showOnlyToday and isToday, 1,if(!showOnlyToday,1,0));

def pastOpen = if((secondsTillTime(Market_Open_Time) > 0), 0,1);
def pastClose = if((secondsTillTime(Market_Close_Time) > 0), 0,1);
def marketOpen = if(pastOpen and !pastClose, 1, 0);
def firstBar =if (day[1] != day, day-1, 0);

rec regHoursHigh = if(high > regHoursHigh[1] and marketOpen, high, if(marketOpen and !firstBar, regHoursHigh[1], high));
plot TICK_High = if(marketOpen and shouldPlot, regHoursHigh, Double.nan);
TICK_High.SetDefaultColor(color.green);
TICK_High.SetLineWeight(1);

rec regHoursLow = if(low < regHoursLow[1] and marketOpen, low, if(marketOpen and !firstBar, regHoursLow[1],low));
plot TICK_Low = if(marketOpen and shouldPlot, regHoursLow, double.nan);
TICK_Low.SetLineWeight(1);
TICK_Low.setDefaultColor(color.red);

input HighThreshold = 1000;
input LowThreshold = -1000;

def tickDataLow = low("$TICK");
def tickDataHigh = high("$TICK");
def tickClose = close("$TICK");

def isLow = if((tickDataLow < LowThreshold), 1, 0);
def isHigh = if((tickDataHigh > HighThreshold), 1, 0);

plot ExtremeTick = if(isLow and !isHigh, low, if(isHigh and !isLow , high, double.nan));
ExtremeTick.setStyle(curve.POINTS);
ExtremeTick.setPaintingStrategy(paintingStrategy.LINE_VS_TRIANGLES);
ExtremeTick.setDefaultColor(color.yellow);
ExtremeTick.setLineWeight(3);

plot tickSMA = average(tickClose,tickAveragePeriod);
tickSMA.setLineWeight(3);
tickSMA.setDefaultColor(color.white);

def ticksDev = stdev(tickClose, tickAveragePeriod);

plot tickBBH = tickSMA+bollingerBandFactor*tickSDev;
tickBBH.setLineWeight(1);
tickBBH.setDefaultColor(color.dark_gray);

plot tickBBL = tickSMA-bollingerBandFactor*tickSDev;
tickBBL.setLineWeight(1);
tickBBL.setDefaultColor(color.dark_gray);

AssignPriceColor(if tickSMA >= 0 then color.green else color.red);

plot eHT = HighThreshold;
eHT.setDefaultColor(color.dark_gRAY);

plot eLT = LowThreshold;
eLT.setDefaultColor(color.dark_gRAY);

plot zero = 0;
zero.setDefaultColor(color.red);
zero.setLineWeight(2);

alert(TICK_High>TICK_High[1], "New High Tick", alert.bar, sound.ring);
alert(TICK_Low

TICK + TRIN Indicator

ThinkScripter — Mon, 23 Feb 2009 02:34:39 +0000

I’ve taken the original TICK indicator and gone a few steps further. The plot more closely resembles a bar chart now and the bars are colored based on three options. First you can color the bars based on the slope of the nine period EMA of the TICK. Second you may color the bars based on whether that same nine period EMA is above or below the zero line as pictured below. Lastly, you can color any bars where the range of the TICK readings is greater than an input threshold. These bars are magenta and they provide an extreme volatility warning of sorts. Note that if you use this on a larger timeframe, you’ll probably want this option off. As before, extreme TICK readings are flagged with a yellow triangle also based on user-defined threshold values. The highest high TICK and lowest low TICK are indicated by the dashed lines in the extreme region. Lastly, the centerline of the indicator changes color based on the trend of the TRIN indicator. There are two methodologies for detecting the trend to choose from.

As with any study, you can turn on and off the parts of the indicator you would like to see in the control panel.

TICK + TRIN

TICK Indicator

ThinkScripter — Sat, 24 Jan 2009 18:37:21 +0000

I had a request for an indicator that shows all the TICK data not just the extremes. Here’s my first cut at it. The green bars represent the high tick reading, red the low, the white dots the close, and the white line is an EMA of the HLC3 data. You can set your extreme levels where you like as well as the EMA period.

Thanks again to all who have provided feedback, support, and donations to the beer kitty

TICK Indicator

# TICK
# http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 24 Jan 2009

declare lower;

input highExtreme = 1000;
input LowExtreme = -1200;
input emaPeriod = 10;

plot h = high("$TICK");
h.setPaintingStrategy(paintingStrategy.HISTOGRAM);
h.setDefaultColor(color.green);

plot l = low("$TICK");
l.setDefaultColor(color.red);
l.setPaintingStrategy(paintingStrategy.HISTOGRAM);

plot c = close("$TICK");
c.setStyle(curve.POINTS);
c.setDefaultColor(color.white);

plot zero = 0;
zero.setDefaultColor(color.white);

plot midH = 600;
midH.setDefaultColor(color.green);

plot midL = -600;
midL.setDefaultColor(color.red);

plot extH=highExtreme;
extH.setDefaultColor(color.red);

plot extL=LowExtreme;
extL.setDefaultColor(color.green);

plot ave = expAverage((h+l+c)/3,emaPeriod);
ave.setDefaultColor(color.white);
ave.setLineWeight(2);

plot extreme = if(h>highExtreme, h, if(l

Extreme NYSE TICK Dots

ThinkScripter — Sun, 18 Jan 2009 17:08:26 +0000

Here’s a simple script that plots a dot above/below the current bar if an extreme NYSE TICK reading is registered. The thresholds are user selectable.

Extreme NYSE Tick Dots

# EXTREMETICK
# (c) 2009 http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 17 Jan 2009

input dotOffset = 1.0;
input HighThreshold = 1000;
input LowThreshold = -1000;

def tickDataLow = low("$TICK");
def tickDataHigh = high("$TICK");
def tickClose = close("$TICK");

def isLow = if((tickDataLow < LowThreshold), 1, 0);
def isHigh = if((tickDataHigh > HighThreshold), 1, 0);

def plotcolor = if(isLow, 6, 5);
plot TickDot = if(isLow and !isHigh, low-dotOffset, if(isHigh and !isLow , high+dotOffset, double.nan));
TickDot.setStyle(curve.POINTS);
TickDot.assignValueColor(getColor(plotcolor));
TickDot.setLineWeight(3);