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Hi Jim,
Personally, I've investigated the TIKI in depth but I prefer automated
systems rather than discretionary ones. Still, I am hopeful that your
persistence may pay off. If I remember correctly, the system was something
like: put three RSI's (or other indicator as you are investigating) with
differing lookback periods on the 1-minute chart. When they are ALL pointing
in the same direction AND they are pointing with an angle of some magnitude
(can this be quantified?), it is an indication that strong program buying
just kicked off. We must keep in mind that the TIKI is a reliable indicator
only at extreme levels. The stronger the program buying, the stronger the
TIKI moves. My friend who was using this system was profitable but I did not
like it because I thought it was discretionary so I went elsewhere. Further,
the angle bends show up strongly on Ensign software on tick-level data. So,
what does it look like on TradeStation 1-minute bars? I do not know what you
will find. Well, that's all I know about it.
I think that your Summation idea is an excellent one. Would it not make
sense to take a weighted MA of the Summation since you may go from low
periods to high periods and the Summation will hide the change in increased
activity? With the creativity you've demonstrated I'm sure you will think of
something fine.
Sincerely,
Wes Williams
> -----Original Message-----
> From: Jim Johnson [mailto:jejohn@xxxxxxxxxxxxxxxx]
> Sent: Thursday, February 21, 2002 4:18 PM
> To: Wes Williams
> Cc: Bill Wynne; mr_bond@xxxxxxxxx; ebonugli@xxxxxxxx;
> omega-list@xxxxxxxxxx; rfurse@xxxxxxxxxxxx
> Subject: Re[2]: OddBall as a market timing tool
>
>
> Hello Wes,
>
> One thing I've played with a bit is to create a summation of tiki. No
> real nice looking curves so far but I do think there is a kind of
> "balance of power" reading to be had. Not for scalping but to see if
> stealth accumulation is taking place prior to the rest of the market
> reacting. something like this:
>
> summation(tiki's > +20, 15 minutes) 0 summation(tiki's < -20 , 15
> summation(tiki's > minutes)
>
> a sort of net extreme tiki over the last 15 minutes.
>
> Thursday, February 21, 2002, 3:34:06 PM, you wrote:
>
> WW> Bill,
>
> WW> I am unsure of your intent or the timeframes you used, but
> were you using
> WW> 1-minute bars on the TIKI or something else? Program trading
> only lasts for
> WW> a short while and when it starts, the TIKI will move but then
> return to
> WW> "normal," whatever that may be in a few minutes. So, if you
> were using a
> WW> longer timeframe for Data2 perhaps you have a reason why? The
> TIKI is for
> WW> day trader timing only, in my opinion. Even then, there are
> other things
> WW> that can make the TIKI move other than program trading, which
> is why it is
> WW> imperfect. But program trading will move it.
>
> WW> Sincerely,
> WW> Wes
>
> >> -----Original Message-----
> >> From: Bill Wynne [mailto:tradewynne@xxxxxxxxxxx]
> >> Sent: Thursday, February 21, 2002 1:00 PM
> >> To: softexcl@xxxxxxx; mr_bond@xxxxxxxxx; ebonugli@xxxxxxxx;
> >> omega-list@xxxxxxxxxx
> >> Cc: rfurse@xxxxxxxxxxxx
> >> Subject: RE: OddBall as a market timing tool
> >>
> >>
> >> {S&P data1, TICKI data2}
> >>
> >> Inputs: RL(14);
> >> If rsi(Close Data2, RL) > rsi(Close[1] Data2, RL) Then Buy;
> >> If rsi(Close Data2, RL) < rsi(Close[1] Data2, RL) Then Sell;
> >>
> >> Here you go, check how "robust" it is for yourself.....sorry,
> >> I just can't help it some times. :-)
> >>
> >> BW
> >>
> >> Disclaimer: DON'T USE THIS SYSTEM! As far as I can tell it loses
> >> money across all time frames and parameter sets.
> >>
> >>
> >> >From: "Wes Williams" <softexcl@xxxxxxx>
> >> >Reply-To: <softexcl@xxxxxxx>
> >> >To: "Bill Wynne" <tradewynne@xxxxxxxxxxx>, <mr_bond@xxxxxxxxx>,
> >> ><softexcl@xxxxxxx>, <ebonugli@xxxxxxxx>, <omega-list@xxxxxxxxxx>
> >> >CC: <rfurse@xxxxxxxxxxxx>
> >> >Subject: RE: OddBall as a market timing tool
> >> >Date: Thu, 21 Feb 2002 12:16:18 -0700
> >> >
> >> >I agree with David's assessment on the TIKI as it stands, but do
> >> this: Run
> >> >an RSI against it and use that as your indicator rather than the
> >> TIKI per
> >> >se
> >> >(you won't read that in the books). It is still imperfect but I had a
> >> >friend
> >> >who used it to verify the trade he was about to take. If the
> RSI on the
> >> >TIKI
> >> >was strongly pointing the other direction, he wouldn't take the
> >> trade until
> >> >more information came in.
> >> >
> >> >Jim Johnson cited the Larry McMillan book I read on the TIKI.
> I wouldn't
> >> >recommend the book for just the chapter on the TIKI unless
> you can get it
> >> >from the library or borrow it.
> >> >
> >> >Sincerely,
> >> >Wes
> >> >
> >> > >
> >> > >
> >> > > David:
> >> > >
> >> > > My take is the ticki is generally too noisy, while in
> >> > > strong trends it may not get to some arbitrary point
> >> > > (say -20) and you miss the move. But hey, if someone
> >> > > has a ticki system that beats the basic OB, or whatever,
> >> > > please post the results.
> >> > >
> >> > > Perhaps my comment "a complete waste of time" is too
> >> > > harsh, but I think there are better places to look.
> >> > >
> >> > > BW
> >> > >
> >> > >
> >> > > >From: "David Folster" <mr_bond@xxxxxxxxx>
> >> > > >To: "Bill Wynne" <tradewynne@xxxxxxxxxxx>, <softexcl@xxxxxxx>,
> >> > > ><ebonugli@xxxxxxxx>, <omega-list@xxxxxxxxxx>
> >> > > >CC: <rfurse@xxxxxxxxxxxx>
> >> > > >Subject: Re: OddBall as a market timing tool
> >> > > >Date: Thu, 21 Feb 2002 10:28:01 -0800
> >> > > >
> >> > > >Bill,
> >> > > >
> >> > > >I found TIKI had some value as a daytrading technique if you
> >> > > used it as an
> >> > > >oversold measure in a rising market and vice versa for a falling
> >> >market.
> >> > > >i.e. If 5 minute SP > than 25 period MA and tiki = -20 or
> less, buy.
> >> > > >Didn't
> >> > > >define an exit technique but one possibility would be exit when
> >> > > you have a
> >> > > >profit and the majority of a 5 minute tiki bar is < 0. Possibly
> >> > > adding my
> >> > > >OB DB as a filter for longs/shorts would work better.
> >> > > >
> >> > > >Any comments?
> >> > > >
> >> > > >David
> >> > > >
> >> > > > > Raschke, Conners, Schwartz all talk about tick and tiki
> >> >methodologies
> >> > > > > in recent books..... (IMHO a complete waste of time...the tiki
> >> >systems
> >> > > >that
> >> > > > > is). Ned Davis and many others have been doing breadth (i.e.
> >> > > > > A/D) research for decades.
>
>
>
> --
> Best regards,
> Jim mailto:jejohn@xxxxxxxxxxxxxxxx
>
>
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