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Up in Arms Over Trin and Ratios

Up in Arms Over Trin and Ratios

Postby joegamma » Thu Jul 18, 2013 9:22 am

Its said than Down Volume and Decliners are the critical components of Trin
If we remove upvolume from TRIN, will we get a good representation of current market activity?

According to Morris book "Breadth Indicators", Richard Arms looked at 4 day average of trin, banded by 15% on 13 day average. Here is something similar, but comprised of ADV, DEC, and NYDNV.

Watch when moves outside bands, then reverts back in...shows small positive correlation...

over the past 3 years
1-trin-Up-3yr.png
here is Upvol:trin

and the past 1 year
1-upvtrin-1yr.png

[b]

For me, I find
The inverse is easier to look at (moves opposite market direction) , good bottom-picker (I am still searching breadth for a top-picker....)
1-1yrtrinup.png


1-3yrtrinup.png
Attachments
1-upvtrin-3yr.png
1-trin-Up-1yr.png
<;)
"It requires, obviously, some luck and some good policy."
joegamma
 
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Re: Up in Arms Over Trin and Ratios

Postby joegamma » Sun Jul 21, 2013 1:04 pm

Here is trin less down volume, intuitive that it should have positive correlation, watch when it goes negative-seems to pint toward a pause/minor correction when it does.....seems standard deviation would be falling faster, time will tell
1trin-dnv-1yr.png
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Re: Up in Arms Over Trin and Ratios

Postby joegamma » Tue Jul 23, 2013 9:17 am

7-22 no real change in Trin deflator so far this week
1atrinratio.png
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Re: Up in Arms Over Trin and Ratios

Postby joegamma » Sat Jul 27, 2013 2:25 pm

7-26 Trin and possibly downvolume are not confirming market strength.

Trin is (Adv*downvolume) divided by ( Dec*upvolume), so this ratio can be thought of as Inverse of trin without downvolume (algebra gives a few different forms...)

Seems intuitive that this ratio would have a positive correlation with SPY, and it usually does, but during beginning of rallies because downvolume plummets. As the rally progresses, the correlation falls, Ad-Dec volume (nyud) also sees the slope starts very high, (top red horizontal line), then bottoms when the correction ends (NOT There Yet this time-Red circle may hint bearish). The Spy correlation near peak also tends to get a bit more negative, at least for the recent cycles.(Red Circle). May be hinting at more upside. Also, the Spy correlation did not go negative, except or a day or so, during this rally.

So, It seems either downvolume or decliners are strong OR advancers and upvolume is weak. The negative slope recently in TRIN:ADVANCERS might be a hint that Advancers remain strong, at least for this stage of this rally.
1DWNVOLTRINDAY.png
<;)
"It requires, obviously, some luck and some good policy."
joegamma
 
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Joined: Tue Oct 04, 2011 3:44 pm

Re: Up in Arms Over Trin and Ratios

Postby joegamma » Sun Jul 28, 2013 12:05 am

7-26
Here is a 2hr view of Nydnv:trin(NOT inverse so should move opposite market)
No read on s/t correlation with Spy.
Upvolume not rising, downvolume not falling. but an up day monday would add support to bull argument.

looks ready to confirm uptick, also adv:dec looks ready confirm strength too...

Downvolume deflated by trin, if trin is neutral at 1 then its just down volume, same with Nydec...on rallies these ratios should all faster and further. Nydec ratio dropping now...
1dwntrin2hr.png
<;)
"It requires, obviously, some luck and some good policy."
joegamma
 
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Re: Up in Arms Over Trin and Ratios

Postby joegamma » Wed Aug 07, 2013 6:34 am

8-06
does catch every move, but its a good indication when NOT to be long, now starting to lean that way, not there yet

According to Morris book "Breadth Indicators", Richard Arms looked at 4 day average of trin, banded by 15% on 13 day average. Here is something similar, but comprised of trin and upvolume.


I took out upvolume to see if trin might give a heads up for direction, essentially looking at relationship with down volume and adv/dec.

Color-dyslexic this morning, negative on blue, positive on red
1aalessupv.png



but 2 hour time does not scale with these parameters
1aalessupv2hour.png
<;)
"It requires, obviously, some luck and some good policy."
joegamma
 
Posts: 925
Joined: Tue Oct 04, 2011 3:44 pm

Re: Up in Arms Over Trin and Ratios

Postby joegamma » Wed Aug 07, 2013 7:10 am

8-06
If we assume there exists some underlying bias for advancers, will removing NYadv from trin formula help?
Daily appears similar to taking out up volume...
1aalessADV.png


2 hour also , changed a few parameters, seems safer to be long after standard deviation peaks and begins falling...
1aalessADV2hor.png
<;)
"It requires, obviously, some luck and some good policy."
joegamma
 
Posts: 925
Joined: Tue Oct 04, 2011 3:44 pm


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