Pierre Bernier has sent me a followup on TRINEE and VIXEE. The "EE" in his work refers to his use of ISEE call/put data instead of CBOE data. ISEE reports only new option position transactions instead of all positions. Some feel that it is more responsive to changing sentiment.
The main lesson to take away from this discussion of 2CS, VIXEE, and TRINEE is that these are easy to do daily indicators based on what market participants are doing. I have done 2CS by hand with a calculator and pen and paper spreadsheet since 1996 and still do so each day. Pierre and Stefan have shared their own versions via spreadsheet charting, and TRINEE is new and possibly very useful as well.
Here is Pierre's update:
"Hi Tom,
ISEE started on 2002-04-01, so I went back to that date to get the historical TRIN values. Here is what TRINEE looks like from that date on.
Three general observations we can note from that graph.
1) Rebounds, Ralies and Bull runs start when TRINEE gets below 20% (30% in late stage bulls).
2) Corrections start when TRINEE is above 60% and VIXEE is at a low.
3) Bull markets end when TRINEE gets above 70% and VIXEE spikes up to a new high in the folowing correction.
Regards,
Pierre"
Again, my thanks to both Pierre and Stefan for this interesting work. In the near future I'll show an updated chart of SPX with 2CS extremes at intermediate term index tops and bottoms. There are also some other sentiment and volume studies I do which we could look at over time.
I'm also a fan of Don Wolanchuk's CLX Dow volume work which was first described in Joe Granville's "New Strategy of Daily Stock Market Timing for Maximum Profit", first published in 1976. Wolanchuk wrote much of this book and has further developed the CLX volume work over the years. He has a channel at SI where his nickname is "da_cheif".
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