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I'm also making a strong and probably wrong assumption that if there are indeed stops lingering around bends, that single ticks could trigger some movement that is useful for an entry.

Accidentally hit energy instead of index. Sorry. I've noticed that sometimes when a trend hits congestion and reverses, snagging the tick that darts right above congestion might be an entry into that reversal. This reversal may not appear in ES, it may simply be trading lingering near the ask.

I know their price action is generally identical, 1 ES tick ~ 2.5 SPY ticks. However, sometimes I see a volume spike in one and not the other. I imagine since ES has the larger dollar-volume liquidity, its volume is more "important." Right now I trade SPY, but with tick and volume data charted...

Everybody wants to get a deal, ya know. Just risk being priced in.

ES liquidity and volume is probably more important, but they're all technically one and the same, they move together. As far as buyers and sellers, some software let's you know whether the sales occurred at the bid or the ask.

Decent discussion, but as I mentioned at the top guys, we'd like to exclude variance at all from the conversation. With the above example, blackjack player B will wind up around 8% down over time, but because of variance, yes, could come out lucky in the short term. However, I would need to...

So you believe any long term positive expectancy is the result of variance?

Some people assert that the direction is always a 50/50 chance, completely random. Some assert that it's pretty close to 50/50, but the "edge" is what lets you get a positive expectancy. Under that assumption, if a trader has a system that commits many trades (so as to rule variance out)...

No, it's a fair question. Constant Volume Bars are meant to take time out of the equation and evaluate price action based on units traded. However, visualizing it this way does throw out the time element completely, and there's no need to throw out that information. With time-based bars...

Hey y'all. Using some constant volume bars, is there any software that supports "time bars" as an indicator? i.e. how long each bar took to develop?

In which cases will there be a maximum difference in "rating" between a Calmar or Sharpe ratio?

For now, my entries and exits are technically based off the same signals, since my position shouldn't inform whether I think the market will go up or down from here. Only my risk management should inform whether I should exit when there's a lack of a signal. I suppose it's just a rehashing of...

Obviously, this is all premised very strongly on whether your system has any merit. But let's assume it does. You enter a trade, and then it moves (profitably or unprofitably) to a state where you are uncertain of the direction. Now it's a matter of exiting. If you weren't in a position...

Do you stay in or out at the 10:30 oil news?

Have you looked at any historical data already? The times where the S&P dumps 200 points fast I think would be pretty easy to find and compare.

IB has a list of trade executions. I'm sure they do in the case they need to bust something.

So I'm completely confused as to everybody's position on this. If SPY and a 3X ETF SPXL both start at 100... Day 1: SPY: 100 | SPXS: 100 Day 2: SPY: 101 | SPXS: 103 Day 3: SPY: 100 | SPXS: 99.94059406 I am confused as to what everybody's definition of "decay" is, but I thought that this...

Both!

I'm losing my mind trying to figure out what you guys are specifically even arguing about now. Is the question still "Does decay exist" or is it now "What causes ETF decay?"

So Calendar Spreads are pretty Volatile with VIX futures?