Dr. Brett Steenbarger’S Adjusted Cumulative Tick

I wrote this to share with a Google group that I am a part of, so I thought I would share it here.

Dr. Steenbarger, when he used to run his blog, often referred to his adjusted cumulative TICK. This is the cumulative values of the close-weighted average of each one minute TICK bar ((High + Low + Close)/3) minus the twenty day average added for each day. It is meant to be used intraday on a one-minute chart to understand buying/selling pressure from program buying/selling.

The calculation sounds confusing, but it is actually quite simple. This indicator by default uses the 20 day average of the adjusted TICK to adjust each one minute entry. It should be used on a one minute NYSE TICK chart with at least (390 * Moving average period) + 390 bars of data.

Dr. Steenbarger has many posts about it in his blog. For example:


Created By tradinginzen
NinjaTrader Version 7
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Create Date 04/20/2011
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