euroTRIN

Discussion in 'Strategy Development' started by vengeance, Jan 15, 2003.

  1. vengeance

    vengeance

    Does anyone have an idea how to go about constructing a NYSE TRIN type indicator for the eurostoxx50 in realtime?

    Not sure if it would be as useful as the TRIN, since sentiment areas wouldn't be widely known, and followed (eg. .5-1.0 TRIN indicates more likely than not that both long and short day setups may provide good RR).

    Any guidance would be greatly appreciated.
     
  2. relatively easy to construct using a data provider which feeds excel. and then program excel. Data is hard to get though, and expensive.

    The fact that it's not widely followed should make it MORE not less usefull.
     
  3. vengeance

    vengeance

    I'm assuming from the ratio of views to post that there is some interest, and like myself, viewers are in the dark about how to approach this.

    A helpful soul from the Wilmott forum provided instructions how to do it.

    --
    The TRIN is calculated as:

    ((Advancing issues/declining issues) / (advancing volume/declining volume))

    So basically you need for the 50 constituents:
    - Difference to yesterday (if that is greater than 0, it is an advancing issue, else a declinging issue)
    - The days Cumulative Volume

    Then simply for all the decliners, add their volumes up, same for the advancers, and plug those numbers in the above formula.
    Done.
    --

    The esignal forum yielded a helpful response too. The file contains the list of stocks.

    As for the programming that puts it all together, I have yet to get there.