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Tick Pulse Aggressive and Conservative

Posted by David Bean on

We found a way to make Tick Pulse use a more aggressive entry technique while also filtering time periods when VIX changes more than average. Using absolute levels may not always be the best but sitting on the sideline while VIX is in transition could be one approach to use when volatility changes quickly. This is what we have found this week!

I have tick data back to March 2016 for the NYSE TICK from Tradestation "cached" in MultiCharts so we can test this with 2 years of data with one exception, we are missing the data from 10/1/2017 - 10/27/2017 for the NYSE TICK. I have the entire history for the E-mini S&P tick data but I do not have the NYSE TICK. I could purchase this data but purchased historical data is from the exchange while data feeds all "sample" at different rates so the data is different that you purchase can be different than your live data feed. If you don't have the exact history from your data feed then it isn't accurate. (this is for market indicator/metrics such as NYSE TICK and not actual trade data for futures or equities). As you know Tradestation and most data feeds only offer 6 months of sub 1 minute data.

I spent a lot of time looking for this history this week by looking on 5 different computers and 2 different VPS's and have talked to data providers and representatives of the data feeds from ICE/NYSE. Next step up is direct market access (the way the HFT funds do) and would probably drive data costs and programming up to approx 10k+/month.

Right now, this is what I have. I have started trading this as the risk/reward is there for me. If you have a portfolio and want to trade this, let me know and we can set you up! Or if you want to sign up below, here is the link.


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