Research on Changes in TICK Extremes Over Last 10 Years

Mar 14, 2011: 11:08 AM CST

How has the TICK changed over the last 10-years?  And is a reading of 1,000 as significant today as it was 5 or 10 years ago?

These are questions you need to know if you’re using the TICK in any capacity in terms of absolute values (such as “fade the TICK intraday when it hits 1,000″).

Let’s take a look at a simple comparison of TICK Extreme Highs and Lows from 2000 to 2010 in terms of changes over time – you might be surprised.

Here’s the method – I imported NYSE Tick Data from TradeStation into Excel and then ran a count function on intraday TICK highs and lows per year.

Here’s the quick data in Bar Chart format:

This bar chart answers the question:

“How many intraday NYSE TICK highs exceeded 1,000, and how many TICK lows exceeded -1,000 on the session?”

Moving from left to right, we see that the TICK was far less volatile from 2000-2001 than it is presently.

What was eye-opening to me was that there were far more positive 1,000 TICK readings than negative 1,000 TICK readings across the entire spectrum, and that TICK lows under 1,000 spiked in 2007 and have remained elevated until the present day.

Despite the spike in TICK lows from 2007, it’s still only about 140 days (out of 250) per year that register TICK lows under 1,000.  I did not expect the data to show that.

The TICK commonly hits intraday highs above 1,000 – doing so around 175 of 250 days – but even that’s clearly not every single session.

This makes sense in a way, in that during a bullish/rising session, the TICK tends to stay concentrated in the positive territory, and on a negative/falling session, TICK stays concentrated in the negative numbers.

So the quick take-away is that the TICK has a bullish/positive bias.

The two exceptions where the number of TICK lows under 1,000 exceeded TICK highs above 1,000 were 2008 where there were 147 TICK lows under 1,000 as compared with 137 TICK highs above 1,000 and 2000 where lows hit 32 when compared to 8 TICK highs.  I need not remind you that these were bearish years for the market.

A point of reference – an intraday session can record BOTH an intraday high above 1,000 and an intraday low under 1,000.

Interesting – so let’s take it one step beyond this and raise the TICK extreme threshold to 1,200 and -1,200:

The bar chart formations are similar – but the values on both counts are cut in half.

By raising the threshold to 1,200 for TICK extreme highs and -1,200 on TICK extreme lows, we see roughly half of the readings we saw when the parameters were 1,000 and -1,000.

In general, about 70 to 80 days record TICK highs above 1,200 while – over the last few years – about 50 sessions record TICK lows under 1,200.

The big observation that jumps off the chart at me is that – in general – TICK highs have been steadily DECREASING while TICK lows have been steadily INCREASING – picking up every single year since 2007.

Another interesting point is that there were ZERO TICK lows (according to the data) under 1,200 in the bullish years of 2003 and 2006.

If your strategy called for “buying when the TICK hit -1,200,” then you executed zero trades that year – which is why I wanted to conduct this study – to show changes in the absolute value of TICK extremes over the years and the need to adapt your strategies.

I showed on this type of logic in my post:  “Comparing the S&P 500 and Extreme TICK Highs in 2010” – take a moment and read that and compare those insights to what the data show over the last 10 years.

Going back to 2008, there were 53 TICK lows under 1,200 compared with 23 TICK highs above 1,200.  The year 2000 saw 6 days with TICK lows under 1,200 compared with 3 days with TICK highs above 1,200.

You might also be surprised to learn that 2010 was another year where TICK lows under 1,200 outnumbered TICK highs above 1,200… but only by one instance (76 to 75).

The main take-away for me is that – again – intraday TICK highs have steadily declined as intraday TICK lows have steadily increased over the last four years.

You need to know that if you’re trading with the TICK intraday.

And finally, for fun, what were the results when I increased the intraday thresholds to 1,400?

Again, I was surprised at the steady increase in TICK Lows under 1,400 – rising each of the last four years.

It’s still a small number:  7 in 2007; 9 in 2008 (surprising); 13 in 2009 (a super-bull year), and 19 in 2010 (a mixed bull year).

While there are a lot more insights you can gain from this data, I summarize with the following points:

  • TICK Extreme Values CHANGE over time – a reading today is not what it once was years ago
  • TICK Low Extremes have been steadily INCREASING over the last four years while TICK Highs have been Decreasing
  • There is an inherent Bullish Bias in the NYSE TICK – which goes along with the natural bullish bias in stocks
  • You must adapt your strategies to current realities in the TICK – not historical realities

There’s a bit of logic to this – markets change over time and so do major market indicators/internals.

Keep this quick study in mind – and do research of your own – as you use the TICK in today’s (and tomorrow’s) markets.

Corey Rosenbloom, CMT
Afraid to Trade.com

Follow Corey on Twitter:  http://twitter.com/afraidtotrade

Corey’s new book The Complete Trading Course (Wiley Finance) is now available!

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Comments
  • Tprovan

    i liked your vidio at smb on the tick. I have been watching relative volume and it may be a little sooner indicator to a trend day before takaing out the 1st hr high, jsut a thought
    thanks for the great work

    tp

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