Continuing the series of research posts on the NYSE TICK for intraday and short-term traders, let’s take a look at the breakdown of intraday TICK highs and TICK lows from 2008 to the start of 2013.
This continues the logic of interpreting a TICK value in terms of current volatility and average readings, as opposed to placing importance on an arbitrary number like the popular +1,000 and -1,000 as important intraday thresholds.
To put the data below in context, here’s a chart of the NYSE TICK on the Trend Day for January 17th (the breakout to new highs):
The NYSE TICK shows the difference beween issues ‘ticking higher’ at a particular moment vs. those ‘ticking lower’ at the same moment.
For example, if 2,000 issues are “ticking higher” (just experienced an up-tick) and 1,500 issues are “ticking lower” at a specific moment, the NYSE TICK would register +500.
Traders use the NYSE TICK for various intraday trading strategies that are beyond the scope of this quick data reference post.
Notice that, despite the bullishness of the Trend Day, excluding the opening value, the TICK never registered above +800 on the upside or beneath -400 on the downside (until the spike value into the close).
This is because current “TICK Volatility” is low as is the market volatility as seen on the higher timeframe.
The two tables below reveal the Average (for the whole year) TICK High, the lowest recorded intraday TICK High, and finally the highest recorded TICK High for the year specified.
Here are the intraday TICK High values from 2008 to the start of 2013:
While the average annual TICK reading tends to cluster near 1,000 to 1,100 (which is what most traders use as a reference), intraday TICK readings have spanned from +510 to +1,700 over the last 5 years according to TradeStation TICK data.
We follow-up with the table of intraday TICK low values from 2008 to 2013’s beginning:
Similarly, while the average annual intraday TICK low is very near -1,000, the ‘lowest’ (absolute intraday value) of the last five years has been -142 (the number is actually -393 when adjusting for what appears to be a data error on a holiday session) and the ‘highest’ (absolute value) TICK low has been -1,875.
With that in mind, let’s now turn our attention to the distribution of intraday TICK Highs and TICK Lows:
And then TICK Lows:
These frequency distribution charts are similar to the data post on 10-years of TICK Data/Research linked here (be sure to use it as a reference as well).
The distribution graphs show the number of intraday TICK Highs or TICK Lows that fell within the specified range. For reference, the +1,000 bar represents the number of intraday TICK Highs that fell between 900 and 1,000.
For example, the most common intraday TICK High range was from +1,000 to +1,100 (269 values) and the most common intraday TICK Low range was from -900 to -1,000 (211 readings).
It should be noted that the number of TICK Low readings between -1,000 and -1,100 (202) and -1,100 and -1,200 (200) are almost identical.
You can also categorize extreme values in the data.
There were 116 days that registered an intraday TICK High above 1,300.
There were 133 days that registered an intraday TICK Low less than -1,300 (or in other words, greater than the absolute value of -1,300).
In terms of the common 1,000 and -1,000 reference level:
456 days registered an intraday TICK High lower than 1,000.
568 days registered an intraday TICK Low greater than -1,000 (or less than the absolute value of -1,000).
This means that if you take trading signals using the arbitrary 1,000 level as a reference:
36% of the 1,254 days in the 5-years study did not register an intraday TICK high of at least +1,000
45% of the days in the 5-year period did not register an intraday TICK low of at most -1,000.
With regard to the data, 2008 was of course a strong bear market while 2009 to present (early 2013) represented a consistent primary uptrend/bull market. Perhaps that is one factor why we see fewer intraday sessions register at least a -1,000 TICK Low.
The data are imported from TradeStation’s $TICK Data into Excel and the period begins at January 15, 2008 and ends January 15, 2013.
Different software/data vendors may report slight differences in the NYSE TICK depending on how they calculate the TICK (there are slight individual differences).
For additional insights on the topic of TICK Volatility, be sure to visit my prior posts at:
- January 2013: “Updating TICK Volatility Charts to Start 2013“
- October 2012: “Updating TICK Volatility for Intraday Traders“
- December 2011: “Updating TICK Extremes for Trading Reference“
- Updating TICK Extremes for Intraday Traders (June 28, 2011)
- “Why You MUST Consider Volatility When Trading with the TICK”
- “Research in Behavioral Changes in the TICK Over the Last 10 Years”
Corey Rosenbloom, CMT
Afraid to Trade.com
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