Intraday Relative Cumulative TICK

Relative Cumulative TICK charts are now updated throughout the trading day at http://CumulativeTICK.com/relative. Note from Wednesday’s chart that by 10:45 ET, even as the S&P was surging to new intraday highs, relative TICK was weakening considerably. This is easiest to see on the lower of the two charts, which essentially summarizes the busier upper chart. The lower chart neutral level is 15, given that we’re comparing today’s Cumulative TICK to the Cumulative TICK over each of the last thirty days (at the same moment in time). A reading of 15 means  the current Cumulative TICK is running better than 15 out of the last 30 sessions. You can see that in the first hour of Tuesday’s session, this indicator ran up to 27, meaning the early TICK action was better than 27 out of the last 30 sessions. But by 10:45, this number had fallen to 22 even as the market continued to ramp higher. This trend of declining Relative TICK continued throughout the session. Prior to the start of the last hour, we were all the way back to neutral territory at 15. While the presentation is still rough at this point, I’m hopeful this will become a useful tool for gauging today’s NYSE TICK activity relative to recent action.

The Nasdaq100 (NDX) was barely down for the second day in a row while the S&P fell nearly 1% Wednesday. That triggers the short-term buy setup discussed in this recent column, and suggests we’ll see an S&P close above today’s settlement in the Friday-Monday time frame.

The Small Fish, Big Odds blog discussed an interesting short-term buy setup involving the Dow Transports following the lead of the Dow Industrials (see post). As I understood it, Fish began by looking for instances when the Industrials closed at a fresh 40-day high and the Transports failed to close at a 40-day high. The next day, if the Transports follow suit and post a 40-day high while the Dow does not (as occurred Tuesday), a short-term buy setup for the Industrials is triggered. The last thirty occurrences of this pattern are listed in the table below…

10/20/09… ???
04/30/09… Higher Dow close one session later
05/31/07… Higher Dow close one session later
05/03/06… Higher Dow close one session later
04/24/06… Higher Dow close two sessions later
04/03/98… Higher Dow close one session later
11/18/96… Higher Dow close one session later
10/15/96… Higher Dow close one session later
11/06/95… Higher Dow close two sessions later
01/06/92… Higher Dow close one session later
09/05/89… No higher Dow close within three days
07/28/89… Higher Dow close one session later
07/24/89… Higher Dow close two sessions later
08/14/87… Higher Dow close one session later
08/07/87… Higher Dow close one session later
11/29/85… Higher Dow close three sessions later
01/11/80… Higher Dow close one session later
03/23/79… Higher Dow close two sessions later
03/02/72… Higher Dow close one session later
01/10/66… Higher Dow close one session later
06/10/60… Higher Dow close one session later
01/04/60… Higher Dow close one session later
07/08/58… Higher Dow close three sessions later
06/05/58… Higher Dow close one session later
04/25/57… Higher Dow close two sessions later
07/23/56… Higher Dow close two sessions later
09/07/55… Higher Dow close three sessions later
07/07/54… Higher Dow close two sessions later
05/19/54… Higher Dow close one session later
11/06/53… No higher Dow close within three days
09/06/51… Higher Dow close one session later

Note that in 28 out of the past 30 cases, or 93% of the time, the Dow closed at a subsequently higher level within the next three days, significantly above the 71% at-any-time odds for a higher Dow close within three sessions. This indicates the potential for a rally back above 10,041 by the end of the week.

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

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