Support Board
Date/Time: Wed, 15 Jan 2025 13:44:00 +0000
Post From: Tick Calculations and Inverse ETF's
| [2017-06-03 20:15:29] |
| Merlin - Posts: 83 |
|
This is kind of a philosophical question, which occurred to me after reading your new message on Sierra's Tick calculation (which I agree is excellent). As I understand it, the NYSE and Nasdaq tick calculations include not only stocks but also Exchange Traded Funds (ETF's). Correct? Assuming yes, there are quite a number of ETF's that are designed to do the opposite of what their market sector does. These funds usually have "Short", "Inverse", or "Bear" in their names. They're designed as a vehicle for investors to short the market or some sector. For example, SH, the "Short S&P500 ETF, should tick UP when the S&P500 ticks down, and tick DOWN when the S&P500 ticks up. This web page lists such ETF's: http://etfdb.com/type/equity/all/inverse/ I'm surprised how many there are! It seems to me that the ideal TICK calculation would invert how it counts such funds. Downticks for an inverse fund would be counted as upticks for the tick calculation, and vice versa. Otherwise they would tend to artificially reduce extreme tick values - because the stronger the market upmove, the more certain it would be that all of these ETF's would be ticking down. This would create a small but real inaccuracy in the calculation. Another alternative would be to exclude them entirely from the calculation. How does Sierra handle these inverse funds? Have you thought about this issue? Warm regards, Merlin |