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knocks420

Steenbarger Indicators

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Has anyone been able to successfully recreate the indicators used on Brett Steenbarger's site? Indicators include NYSE cumulative TICKS, Money Flow, and other market internals. Here is an example of one I am currently working on:

 

http://traderfeed.blogspot.com/2009/02/stock-market-sentiment-look-at-muted.html

 

Despite using the logic written I was unable to recreate the indicator in the timeframe shown in the examples. Thanks for any assistance!

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Attached is "my" version of cumulative tick. I say my version since I have changed it somewhat for my specific chart setup and it is specific to minute based bars. I am pretty sure this is not the most optimized way of coding it, but it works for me. Or rather it did, as I am not using it anymore.

 

From what I understood from is blog, the money flow indicator is virtually the same, but also multiply the cumulative tick values with the volume for each bar, so this should easy to adapt the code. You most likely will have to adjust it for your setups, but hopefully this give you a starting point.

 

In the attached picture, the middle frame is the cumulative TICK and the bottom one the ROC of it.

Inputs:	AvgDays(20),
	BarResolution(1),
	UpColor(Green),
	DownColor(Red),
	TrendBars(5),
	MALen(60),
	ShowMA(1),
	ShowDiff(0); 

Vars:	AvgLen(0),
TodayAvg(0),
TickMA(0),
CumuAvg(0),
TodayTotal(0),
TICK(0),
Counter(0),
Color(Yellow);

AvgLen = AvgDays * (390/BarResolution);
TICK = (High + Low + Close)/3;

If date <> Date[1] then TodayAvg = Average(TICK, AvgLen)[1];

TodayTotal = TodayTotal + (High + Low + Close)/3 - TodayAvg;
TickMA = Average(TodayTotal,MALen);

If ShowMA = 1 then Color = Iff(TodayTotal >= TickMA, UpColor, DownColor);
if ShowMA = 0 then begin
IF TodayTotal > TodayTotal[TrendBars] then Color = UpColor;
IF TodayTotal < TodayTotal[TrendBars] then Color = DownColor;
End;

If ShowDiff = 1 then Plot1(TodayTotal - TodayTotal[TrendBars],"Diff",Color);
if ShowDiff = 0 then Plot2(TodayTotal,"Adjusted TICK", Color);
If ShowMA = 1 then Plot3(TickMA, "TickMA", Yellow);	

5aa70eacd89ce_cumulativetick.thumb.png.0707c20b674270092229b37456e1dd99.png

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All he means by culmative is its current value. Its the same as On Balance Volume or Accumulation/Distribution. It's just a running total of the net.

 

Actually, it is not. It is the cummulative value of the differences from the average of the last 20 days and not just the cummulative value of adding current values together.

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Actually, it is not. It is the cummulative value of the differences from the average of the last 20 days and not just the cummulative value of adding current values together.

 

 

 

Any series can be made to contain only the last N day's. Whether you use just the last N days or let it run continously its the same thing.

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Any series can be made to contain only the last N day's. Whether you use just the last N days or let it run continously its the same thing.

 

I didn't say it is the cummulative value over the last 20 days. Please read my post again.

 

Please also read the explanation again from Steenbarger's blog on how this is calculated. In some of the comments to his blog posts, he explains it in more detail. This is not a simple cumulative value of the current values as you think as with On Balance Volume. It's a cummulative value of the difference from the average.

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Sevensa,

 

Upon closer look it appears this works for divergences as well. Did I read that right?

 

I haven't used the indicator in a while and actually has used it very little. However, my guess would be that divergences would be one of it's strong points, just like with regular TICK when it doesn't confirm price movement.

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Steenbarger's a sharp guy! I track the NYSE tick and use them to watch for equity "buy programs" as well a track the cumulative delta in the e-minis via fulcrumtrader, but he used marketdelta for cd and other volume analysis last i heard.

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