Cumulative Tick Chart for 5-17-2010

Look at this 5-min chart for the last two days in ES. It has my cumulative tick indicator on it, which is continuing to impress me in how it picks the right direction in the markets. It’s using a paintbar to color-match with the indicator line in the lower panel:

And that’s a free indicator! I’m thinking (in what very little spare time I have) about entry and exit rules for this so I can program it into a strategy. It probably is death in a choppy market no matter what rules you use. Feel free to leave a comment if you have any suggestions.

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10 Responses to “Cumulative Tick Chart for 5-17-2010”

  1. KumoBob Says:

    I just finished a routine that can be added to the bottom of most any script to determine the effectiveness of the indicator.

    I hope you don’t mind the redirection to my blog.

    http://share-tos.blogspot.com/2010/05/accountantr1v2.html
    http://share-tos.blogspot.com/2010/05/accountantr1v2_17.html

  2. Prospectus Says:

    I don’t mind a link to another blog, I just find it odd that you’d link to a walled-off blog…

  3. KumoBob Says:

    Sorry I was not thinking about the access issue. Here’s the script.
    There are two accounting methods. One shows the cash position of each trade, and the other shows an ongoing value.

    http://screencast.com/t/MDlhMzU2Yz
    http://screencast.com/t/N2YzYzY2

    # Accountant_R1V2
    # KumoBob aka Bob Campbell
    # Date: 20100514:2130

    # R1V2
    # Used CompoundValue for recursion Thanks to ThinkScriper
    # Worked out accounting problems.
    # Changed variable names

    # _____________ Reward Your Life ______________
    # Walk or run at least 30 minutes a day.
    # Remember to smile and be kind
    # Eat lots of vegetables
    # Be generous
    # _______________________________________

    # _______________________________________________________________________________
    # ________________________ ________________________
    # _______________________ Demonstration Indicator ______________________
    # _______________________________________________________________________________
    #

    def LastBar = IsNaN(close);
    input DemoLength = 30;
    def Price_Data = If LastBar then Double.NaN else close;
    def price = If LastBar then 0 else close;
    def MA_Data = If LastBar then Double.NaN else Average(close, DemoLength);
    def ma = If LastBar then 0 else Average(close, DemoLength);

    Input PlotArrows = No;
    plot DnSignal = If LastBar then Double.NaN else
    If PlotArrows and Crossover(no, Price_Data > MA_Data) then Price_Data else Double.NaN;
    Dnsignal.SetPaintingStrategy(PaintingStrategy.Arrow_Down);
    plot UpSignal = If LastBar then Double.NaN else
    If PlotArrows and Crossover(no, Price_Data MA; # if Price is above MA then TRUE
    def Sell = Price MA) then -MA else 0;
    def Short = if Crossover(yes, Price < MA) then MA else 0;
    def L = if Long 0 then 1 else 0;

    rec TradeCount = compoundValue(1, -L + S + TradeCount[1], 0) ;

    rec First_Trade = if compoundValue(1, First_Trade[1], 0) == 0 then
    compoundValue(1, Long + Short, 0) else compoundValue(1, First_Trade[1], 0);

    # _____________________________________________________________
    #
    # __________ TTL2 begins normal sell and buy pattern __________
    # _____________________________________________________________

    rec TTL2 = if TradeCount > 1 then compoundValue(1, long + short + TTL2[1], 0) else 0;
    def Profit2 = if TradeCount 0 then “Good Job!” else “Oh No!”)), if Net > 0 then Color.Green else Color.Red);

    # Keep this comment or TOS will eat it
    #AddChartLabel(Accountant, concat( Net, concat(” “, If Net > 0 then “Good Job!” else “Oh No!”)), if Net > 0 then Color.Green else Color.Red);

    # _______________________________________________________________________________
    # _____________________________ _____________________________
    # _____________________________ End of Accountant _____________________________
    # _____________________________ _____________________________
    # _______________________________________________________________________________

    # ______________________________________________________________

    # Thinkscript is the property of ThinkorSwim and TDAmeritrade
    # Sections of this stript may have been copied or modified from
    # one or more Thinkscript studies in part or in their entirety.
    # ______________________________________________________________

  4. Taipen Says:

    Love your blog.

    I wanted to download and try your cumulative tick and cumulative ma, but when i attempt to download my computer keeps reading it as a media file, and opening it in windows media.

    Any hints on what I need to do?

  5. Prospectus Says:

    See my “Thinkscript for complete beginners” tutorial in the sidebar. It tells you how to import it. You can also open the .ts file with notepad or wordpad. It’s just a text file with a fancy name.

  6. don Says:

    Would someone please explain what the different traces (lines)on the cumulative tick indicator are about. I’ve had very little success trying to decipher their meaning. And the cloud seems to be inversely related to the slope of the price. nez pas?
    the idea behind it- knowing whether the sales are occurring at the bid or the ask is brillliant.

  7. don Says:

    I’ve been loading it as one of my indicators now for a month, but so far i have no clue as to how to read it.
    don

  8. Prospectus Says:

    It’s basically a type of on-balance volume on the tick. Instead of just cumulating the raw tick values, it sums only values that are extreme, or higher than some bands.

    The cloud in the indicator is just to show how far above or below zero the cumulative tick is. The main line is the cumulative tick value, summed for the whole chart. It’s green if it is trending up and red if it’s trending down.

  9. Prospectus Says:

    Don,

    I’m going to do another post soon. I’ve got a newer version I use now that is easier to understand. Stay tuned.

  10. don Says:

    thanks for the splainin. I’ll be looking forward to your updated cum tick
    Don

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