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uptick rule and tick
Steenbarger has been posting that tick is more negatively skewed now since the uptick rule has been done away with.
has anyone else noticed this? I haven't used tick long enough to be able to make that judgement. http://www.traderfeed.blogspot.com/ |
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Re: uptick rule and tick
it most definitely has
i used to draw an equivalence between a (roughly) -900 tick and a +1000 tick iow, on a relatively neutral (relatively flat) day, a -900 represents a tick extreme to the downside, but a +1000 represents a tick extreme to the upside. based on daily averages, as well as reaction to extremes, it has CLEARLY been skewed away from its positive bias. it plays a little differently in general, fwiw. but definitely has had an adjustment downwards. and this is taking into account some of the current strongly bearish days (iow, adjusting for the fact that obviously when dow is down 300 pts, tick will be bearish) |
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