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Vaguely confident in the data shown here (but sceptical about my use of "value_of_block_price_move"). The "minimum capital GBP" is based on a system with 15% volatility target. Who can correctly name instruments A, B, C? A better chart would also colour code the bubbles based on risk adjusted...

https://www.interactivebrokers.co.uk/it/index.php?f=4745&p=fut potentially useful page (even if originally drafted in italian) eg - micro commodities on nymex and micro treasuries on cbot (too illiquid?) I'm keen to automate a strategy on a small batch of micros. Much worse outcome than...

Am currently double checking the Friday recording to make sure I didn't miss any "Big Size" events. A thought came to my mind - something which has bugged me for a long time, and I would appreciate expert input if there is any to be had:

1) I dont know how to tell a computer to watch the DOM and front run in the event that an order looks like it's real. Or to fade it if it looks like the market isn't impressed by the size 2) Yes, you can spot and trade real time. I'll include a live clock in future so you can get a better feel...

For no reason at all other than for my own amusement, I like to produce short video clips documenting those rare occasions when the price ladder seems to make (some) meaningful sense (to me). Taken from last week, NASDAQ - NQ Futures; my market of interest for the moment. The videos and...

Any comments welcome:

For my own entertainment, here's a video of the first "interesting" thing that I observed in hindsight on ZC price ladder, Friday Feb 27th (GMT in display). More to follow as and when I have the inclination to watch ZC replays. Path of least resistance on the day was to the upside. A stealthy...

I'm all for progress but 27k messages in 2 seconds isn't it. Would enjoy seeing the impact of new rules such as the requirement that orders remain "live" for a minimum time e.g. a second or two. Doesn't seem right that orders can come and go in less time than it takes for signals to travel from...

update to prior 2 charts + additional charts that caught my eye. Just a bit of fun with "technical analysis"

http://harryhindsightnews.com/2014/03/18/18-march-2014-whats-so-special-about-tuesday/ http://www.zerohedge.com/news/2013-05-07/your-sp-your-sp-without-tuesdays

Remember when US market was rallying every tuesday? Might be worth keeping track of the daily change to see if pattern like that emerges again. further ideas: First day of month when theoretically inflows from funds, could generate a trend day options expiry days (see exchange websites for...

I also like AEP (as possible long). If not at 56, then at 54.50.

What comes next?

Thanks basher, good find. I tend to agree that something as crude as H&S could ever yield +ve expectancy. Nevertheless I am fascinated to do the research myself. One thing I'm interested to see is how the H&S identified by these researchers' written code actually appear on the charts themselves...

I think TA really needs to be allied with quantitative evidence. And with python / R, and whatever else, it's certainly possible to gather up hundreds or thousands of qualifying instances of H&S. Only then would I narrow down to the details of when to enter. Anyway, I've skimmed through some...

Yeah I'd say cognitive bias is not a terrible place to start in devising some trading strategy. Anyway, back to voodoo TA :) Is this an inverse head and shoulders in progress? ticker COG

Good feedback all, thanks. I've been inspired to set Python to the task of identifying possible H&S, and then perhaps manually confirming the patterns (without knowing in advance the outcome). I'll try and track down some of those books / articles too. Thanks