TICK Backtest

As I mentioned in the last post, I want to do a little TICK-NYSE backtesting in order to see if it can aid when making entries and exits. Perhaps it can also give some ideas as to the direction of the market.

The idea is that when the TICK index is "large" in either direction, traders are either dumping shares or grabbing shares. Here's a quick description of a TICK index. Because traders are eager to purchase or sell, it might hint as to the direction of the overall market, or at least, and opportune entry or exit.

Here's the test that I ran:
- If the TICK-NYSE's high > 500, go long SPY on the close of the minute bar.
- Sell after (1,2,3,4 or 5) minutes.
-If the TICK-NYSE's low < -500, go short SPY on the close of the minute bar.
-Cover after (1,2,3,4 or 5) minutes.

Unfortunately this data only goes back a week (I don't have access to more), but it is interesting nonetheless. What you find is gains when going long or short based on the above rules, for 1, 2, 3, 4 or 5 minutes. When the TICK index is high, holding for 3 minutes is opportune, giving a return of 1.3% over the last week. When the TICK index is low, holding for 5 minutes is opportune, giving a 1.3% gain over the last week.

Obviously, this could (and most likely will) change. But, it is nice to see that there are instances (and hopefully I can check more cases in the future) where the TICK index does hint towards the movement of the SPY.

Y-axis should be multiplied by 100 to find percent gain...