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bdixon, you have to go a little slower for this student :) I don't get the pictures, but then again, I am nowhere near Niederhoffer's depth of mkt understanding.

works for me so far .... but you do have to pick your market and your spots very very carefully. Pullbacks are harder to trade too because you can't really scale in - there isn't enough space in a pullback - it's time & length constrained. So you have to bet big going in on the first pass -...

An analysis of Gap trades is not complete without an assessment of the risks involved. % of Gaps being filled x size of Gaps = reward opportunity If time is being used to determine % of Gaps being filled (eg, end of day, first 30 minutes, after x days etc), a time stop would make it...

A while ago, I did an analysis of the most popular last digit on the SP contract over 2 separate years (2001, 2002) and 1 partial year (Jan to Nov 2003) for HOD and LOD.

... refers to this as counting. Statistical studies / correlation studies to achieve an edge. I think it helps if you can connect the statistical thesis to a real world phenomenon. Otherwise like TA, when you throw in a large number of time series data into a machine, by sheer volume...

That's something new to me - anyone who knows something about auto-quoting willing to share? I always figured that the big boys don't care about the overnight session before London opens since there is so little liquidity. Guess I might be wrong!

I think everyone should look at the price of oil in euros to get a second opinion of what's going on in the markets. To be long oil is to be long disaster in Saudi Arabia or Venezuela.

.... is a dollar story. So far :)

The Dow has an upward bias, since the Turtle system uses up some of that upward bias to generate a signal, it's unlevered performance is not going to be superior to the Dow. In addition, since the Turtle system functions like an option straddle, it pays the straddle premium when the market...

Any gold watchers here know what the link to CB gold holdings are? I'm guessing it's somewhere on the BIS site.

... is a prime example of the arrogance of the house. The house enjoys a considerable advantage in the markets raking in the vig when it makes markets on existing games (spread), introduces new games (underwriting fees) and entrance fees to play the games (brokerage fees). Employees of the...

liquidity injections tends to dampen volatility - as long as we keep the dollar hose at full blast, vols will be low. consensus also tends to dampen volatility - read any of the analyst reports in january lately? everyone seems to be sharing the same playbook.

At 0.30pts per contract, and factoring in commish of 0.05pt and spread(vig) of 0.25pt, you are down to 0.00pt P&L. At 120 trades per day I presume your system trades some kind of short term divergence - possibly a stat arb. Perhaps you might want to give us a sense of what your trade is...

Mustering up the courage to do size is no small feat indeed. Whether sizing up is a step towards foolishness or progress depends, I think on how experienced and successful the trader is prior to sizing up.

Hmm ... you haven't defined your profit exit criteria, but never mind. Once you start trading for real and losing money, you'll start figuring out what works and what doesn't.

CalTrader, you are right of course - I am looking at 50,000ft issues that have little impact on day to day trading. It is only when you manage an army of people and capital that they start to really matter. Any pointers on papers would still be appreciate though.

Physics is actually a very weird and wacky science. You might pick up a copy of "The Elegant Universe" if you are not convinced. But you are right - physics and trading are two completely separate disciplines, although you might find that ideas in one could lead to inspiration in another.

Nitro and Caltrader, Thanks for extending the arguments on compression. I think the concept of signal to noise (S/N) is critical to the success of many strategies - esp. in detecting regime changes in the S/N ratio in the mkt. A crude way of approximating this is volatility - low vol...

AAA, if you know of the track record of Farmer et al, I would be interested. PS : I mean their record in trading securities, as opposed to trading their company to O'Conner, UBS etc :)

... that minis were attempted in hogs & coffee without much success. I guess as long as commericals are forced to hedge, the lack of public interest is never going to kill the floor trading business since they have captive liquidity. It is uncertain that retail interest in commodities will...