[TS源码] Tick Trin System交易系统策略源码

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这个策略是拿出来给大家研究的，我研究了一下午没有搞明白。，

学习一下

谢谢分享

TICK and TRIN indicators

TICK and TRIN are two indicators that measure the general sentiment of the market.
They can be used both to determine near term market movement.
Theses indicators are not well know by traders, and because they can be very important in implementing trading strategies, I will explain in this article what theses indicators are about.
First the tick data can be found on the NYSE, NASDAQ or AMEX; TICK on NYSE is the difference between the up ticks and the down ticks for all stocks that are traded in this exchange.
Example: Now, there are 400 stocks whose last trade is an up tick and 200 stocks whose last trade is a down tick, the Tick data show then a value of +200.
TRIN is a calculator, its formula is ((Advancing issues/declining issues) / (advancing volume/declining volume)), it's a contrarian indicator to detect overbought and oversold levels in the market.

How to day trade with these indicators?
TICK value between +200 and -300 indicate a neutral market sentiment.
It became bullish when its value became higher than +200 and bearish when it is lower -300.
Very bullish when its value is higher than +500 and very bearish when it is lower than -500.
Note that when TICK is higher than +1000 or lower than -1000, then a reversal of the market will probably happen soon.
Generally a rising TRIN is bearish and a falling TRIN is bullish.
A TRIN value higher than 1 is bearish while bullish when it is below 0.9

I have added theses indicators in my software, so now when the application grab trades and add them to the database; it takes also the last value of TICK and TRIN for NYSE and NASDAQ stock exchanges.
The goal is to try to find a correlation between, stock performance and TICK and TRIN values; so that's way I can come up with a better day trading system with a greater performance.