Gen - 4th of July gift

["Robert A. Roeske" <bobrabcd@xxxxxxxxxxxxxxx>]

The January 1994 issue of TASC has an article on "Using The Tick In A
Short-Term Indicator" by Daniel E. Downing.  The article had Excel code
which I think I reproduced correctly in .ela with a few enhancements.  You
need really clean TICK data for it to be useful as the TICK can change a
lot with after the bell changes.  Basically the code makes a ten day
exponential average of the closing TICK.  Then it compares the closing tick
with the XMA and assignes a rating of +1,-1,or 0 depending on whether the
close is above, below, equal to the XMA.  Then it make a running total of
the ratings.  Then it makes a 5 day XMA of the momentum which is called the
Tick Line Momentum Oscillator.  Attached is a current .gif and the
indicator.ela.  My TICK data is most likely not clean.  If anyone is
confident they have accurate TICK data in .omz I would not object receiving
it from them.  The rules for using the TLMO are as follows:

1. If readings are equal to or greater than +2.5, the market is overbought.
 Expect a correction within four trading days (on average).

2.  If readings are equal to or less than -2.00, the equity markets are
oversold short term.  Expect a rally within two market days (on average).

3. If readings are between -2.00 and +2.5, the markets are neutral.


{Index in data1, TICK in data2, K is the exponential smoothing constant.
0.333 is default for 5 day smoothing.
Other values for K for different smoothing:  
2 day K = 0.667
3 day K = 0.50
5 day K = 0.333
7 day K = 0.25
9 day K = 0.20
19 day K = 0.1}


Inputs: Price(C of data2), Len1(10),Len2(5),OB(2),OS(-2),K(0.333);
Vars: XMA(0), Rating(0),OnBalTick(1),TLM(0),TLMA(0),TLMO(0);


XMA = XAverage(Price,Len1);  {expontial average of TICK}

Rating = IFF(Price>XMA[1],1,(IFF(Price<XMA[1],-1,0))); {1 if C>xma, -1 if
C<XMA, O if C=XMA}

OnBalTick = Rating + Rating[1];        {running total of the rating
classification}

TLM = OnBalTick - OnBalTick[Len2]; {momentum for period Len2, 5 day default}

TLMA = Average(TLM,Len2);       {simple average of the momentum}

TLMO = K*(TLMA-TLMA[1]) +TLMA[1];   {exponential average of momentum}

Plot1(TLMO,"TLMO");
Plot2(0,"0");
Plot3(OB,"OB");
Plot4(OS,"OS");


Have fun trading,
BobR
http://www.oextrader.com
Attachment Converted: "c:\eudora\attach\Tlmo.ela"

Attachment Converted: "c:\eudora\attach\TLMO.gif"