Signpost - What The Low TRIN Means

Summary: The Arms Index (aka TRIN) closed at 0.20 yesterday for the NYSE. This means that there was a made scramble of volume into issues that rose on the day. Low Arms Index readings can sometimes signal overbought conditions, but coming out of intermediate-term oversold conditions, that's not often the case.

Even so, exceptionally low Arms Index readings like we saw yesterday, whether or not the market was down at the time, show bullish intermediate-term tendencies going forward.

DATES

06/11/40

11/07/40

02/15/43

04/05/43

05/03/43

05/08/43

08/04/43

02/15/46

02/21/46

09/11/46

10/15/46

12/09/46

06/11/47

07/19/49

12/16/50

01/11/51

02/23/52

10/23/57

08/20/82

05/11/90

06/15/06

Number of Trades
The total number of round-trip trades plus open positions.

Avg Profit/Loss (In $ if trading a stock or ETF, and in points if trading an index)
The average profit/loss per trade in dollars.

Avg Profit/Loss %
The average percentage profit/loss per trade in percent.

Winning Trades (In Green) and Losing Trades (In Red)
A trade is marked a winner if its return after costs is above zero. These sections present the same metrics as above, plus Max Consecutive, which is the maximum number of consecutive winners and losers generated in a row.

Max Drawdown
Max Drawdown is the largest peak to valley dollar decline in the system's equity curve.

Max Drawdown Date
Date on which the Max Drawdown was realized.

Buy & Hold Profit (or points if trading an index)
The total profit one would have achieved by simply buying at the beginning of the study period and holding until the end, with no trading. For active systems with many trades, compare the net profit against this figure to see if it would have been worth it to trade the system, or better to just buy-and-hold.

Profit Factor
Profit Factor is the system's Gross Profit divided by Gross Loss. Look for systems that have a Profit Factor of 2 or higher.

Recovery Factor
Recovery Factor is equal to the absolute value of Net Profit divided by Max Drawdown. Recovery Factor should typically be larger than 1. A healthy Recovery Factor is an indication that a system can overcome a drawdown.

Payoff Ratio
Payoff Ratio is the absolute value of the system's average percentage profit per trade divided by the average percentage loss per trade. Unless the system has a particularly high Win/Loss ratio, we look for high Payoff Ratios.

Ulcer Index
The Ulcer Index measures a portfolio's overall volatility. It is calculated by summing the squared draw downs, and then taking the square root of the quotient of this sum divided by the period. A lower Ulcer Index indicates less volatility and draw down, indicating that the system might be easier to tolerate in real-world trading.

Luck Coefficient
The Luck Coefficient shows how the largest trade compares to the average trade and is calculated by dividing the percentage profit of the largest winning trade by the average percentage profit of all winning trades. The larger the Coefficient value, the greater portion of the system results are attributed to the largest winning trade, or, luck.