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Good post Ugu. I have been pondering that same aspect of dynamic volume @ price (and delta, which is really differential volume) as a function of time, as opposed to merely looking at a static market profile snapshot. I suppose the effect of using different moving-average historical time...

Thanks for the insight. Scalping, whether automated or not, inevitably involves a lot of scratching. Sounds like DM has what it takes to withstand the emotional toll. I'd be interested to know his win/loss percentage and profit/loss ratio.

Do you believe DM's approach lends itself to automation? The number of roundtrip contracts per year (293k) is very large, I'm guessing he's relying on a batting average for winning (rather than a large R:R for each entry).

For the setup I'm using, there are periods of times (which are rather extended, on the order of weeks) where CD divergence is a meaningful criterion and other periods where factoring it in will keep you out of good trades. Conspiracy theory says that you can only make money when THEY decide you...

Looking at CD from a statistical viewpoint, you can determine whether it can improve the odds of an existing trade setup. A marginal tilt utilizing CD for a go/no-go entry decision can have a big impact to the bottom line. The same goes for use of CD in position sizing to improve the average...

My point was that the multi-day CDV is not necessarily trustworthy to confirm a trade setup (not that I trust intraday CDV much better). With multi-day CDV, there is so much more opportunity to create a skew in the differential CD reading, unless the divergence is so large that the potential...

There were a few "weak" initiated buy signals at or above 882 today but the setup was not complete (everybody's criteria is different, granted). There were two decent initiated buy signals prior to EOD, both below the busted 882 level. You'd have to go back quite a bit to find the CDV on those...

What's the actual back date you're referring to? I can look it up (with contract adjustment).

Scalping lends itself to automation since the information content is straightforward to program into an algorithm. How many Gary Kasparov's are left to out trade a machine? A trader not going beyond the algorithmically-arbitraged-away information is pretty much guaranteed to be "gone". Ego is of...

"...Men who can both be right and sit tight are uncommon." Anyone comes to mind? :-)

I might be stating the obvious at this point after everything you've demonstrated, but FWIW, after much experimentation, now it's clear to me why scalping doesn't measure up to position trading. It boils down to money management - scalping limits the ability to build position sizes for stretched...

Don Miller's 2008 performance can serve as a benchmark, just shy of 0.5 ES tic net profit per roundtrip contract traded ($1.6M on 293k RTs), unless you want to compete with AMT :p

If you're ready to diversify from ES to other instruments, wouldn't it make sense to automate at that point? Computers don't need as much sleep (or as much fun during waking hours) as humans do.

Sorry I messed up the quotes, was typing while boarding a plane (no peanuts today). Many thanks for the explanation, it's clear to me that experience watching the PA/CD play out using a VB tool is essential to "getting" the complete picture.

QUOTE]Quote from AMT4SWA: Mainly when you see a delta divergence get neutralized, then you want price to complete the reaction move to that inventory bailing out.....usually a minimum 5 point move. So there is no good reason usually to start looking for shots again until the inventory...

That's quite a dynamic picture you're looking at, between order flow bias and prevailing divergence at the retest price level. Assuming the divergence at 926 were to be taken out and you'd have let price go to 931 before taking a shot, would the divergence at 931 be a factor in the decision?

I can only imagine how monumental this pivotal event is to make you feel like xmas during an Austin summer :) I'm curious about the logic here. Did you really need to confirm this was a "stops" run move prior to the initiated sell reaction (which you require anyways to qualify an entry...

Being on vacation at Cabo San Lucas this week (a needed break from intense ATS development), I will be looking for that one! :D btw depending on the scale-out extent, it's fairly easy to demonstrate that a delta-based scalping system can work with a minimal account size (read: 2-4 contracts).

Come to think of it, being part of the 5% group isn't such a bad deal. Think about it, being a Mensa whiz, you're part of a 2% group and the 98% don't pay you nearly as well as the 95% do. But then, you have to make sure you leave your ego in check or you don't get paid!

For real high-frequency trading, the language choice is just one component, not even the most important one. Network latency would have you host your apps at a data center 100 ft away from the CME servers. But if you're a maverick trader who calls those big swings right day in and day out (and...