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Analysis of the NYSE TICK and Portfolio Analysis

Posted by David Bean on

We removed Tick Pulse and Exhaust and Reverse from the portfolios today. TICK Pulse is at a worse case drawdown and is dragging down the portfolios into a worse case drawdown. The narrow ranges as well as the Narrow NYSE TICK is not giving us a good signal to trade. It is very late and gets into trades at the end of the move. Also, there is less cycle nature to the NYSE TICK than what I have seen in the past. In the video below, we go over the convergence of the NYSE TICK Median High and NYSE TICK Median Lows. Basically the NYSE TICK ranges are at 15 year lows.

We don't want to trade Exhaust and Reverse in the Portfolios without TICK Pulse since it is a long only strategy and we want to have a balance of strategies that will go short and long. There is a slight bias to the long side in the 100K and One Million based on the market conditions as it is.


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