NYSE Cumulative TICK Hits its Highest Level in Two Months

TICK leads. Pull up the current chart of the S&P500 and Cumulative TICK and
note that the 20-day moving average of the Cumulative TICK (seen in red)
tracks price very closely. There's hardly any lag despite the fact that we're
averaging the last twenty readings. If you plot a 20-day moving average of
price, there is by definition a noticeable lag. The fact that this isn't the
case when averaging Cumulative TICK readings is a clear sign that the raw
daily readings function as a lead indicator.

It's therefore noteworthy that Wednesday's session produced the highest
Cumulative TICK reading of the year at +89,000. This figure represents the
summation of 1-minute NYSE TICK readings from open to close. We've been
tracking the Cumulative TICK since 1999, which allows us to find a number of
examples in which the indicator surged to a multi-month high. Since 1999,
there have been a total of 51 separate instances in which the Cumulative TICK
hit its highest level of the last two months, the last thirty of which are
listed in the table below...

NYSE Cumulative TICK Hits a Two-Month High
04/16/08... S&P500 ??? two weeks later
03/18/08... S&P500 +2.8% two weeks later
11/28/07... S&P500 +1.2% two weeks later
06/27/07... S&P500 +2.8% two weeks later
05/02/07... S&P500 +1.2% two weeks later
04/05/07... S&P500 +2.8% two weeks later
03/20/07... S&P500 +1.9% two weeks later
10/12/06... S&P500 +1.9% two weeks later
10/04/06... S&P500 +1.2% two weeks later
07/19/06... S&P500 +1.5% two weeks later
06/01/06... S&P500 -2.3% two weeks later
04/18/06... S&P500 +0.4% two weeks later
01/03/06... S&P500 +0.7% two weeks later
11/02/05... S&P500 +1.4% two weeks later
05/18/05... S&P500 +1.6% two weeks later
02/04/05... S&P500 -0.1% two weeks later
01/31/05... S&P500 +2.1% two weeks later
11/04/04... S&P500 +1.9% two weeks later
05/25/04... S&P500 +1.6% two weeks later
05/11/04... S&P500 +1.6% two weeks later
02/06/04... S&P500 -0.2% two weeks later
12/29/03... S&P500 +1.1% two weeks later
10/01/03... S&P500 +2.8% two weeks later
08/28/03... S&P500 +1.6% two weeks later
07/02/03... S&P500 -1.2% two weeks later
04/22/03... S&P500 +2.5% two weeks later
04/17/03... S&P500 +4.1% two weeks later
04/14/03... S&P500 +3.7% two weeks later
01/06/03... S&P500 -4.5% two weeks later
01/02/03... S&P500 +0.6% two weeks later
11/27/02... S&P500 -4.0% two weeks later

Note that out of 51 occurrences, 39 led to a higher S&P500 two weeks later.
That 75% win rate is significantly better than the 54% at-any-time odds for a
higher S&P two weeks (ten trading days) later. In general, unusually positive
NYSE TICK action typically leads to further price strength over the
intermediate-term.

On a short-term basis, note that the S&P has posted two days of higher highs
on increasing volume. Keep an eye on total volume figures Thursday, because
another session of higher highs on increasing volume would trigger the short-
term buy setup last discussed in my May 31st, 2007 column.

Categories : Archived EOD Commentary, End-of-Day Commentary

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