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I don't have a source handy, but I think they actually do for equity ETFs. From what I remember there is somebody (maybe the fund itself?) that will exchange new fund shares for the underlying basket and vice-versa. But only in large blocks. That's why they don't get big premiums/discounts...

So here are the model results I said I would post last week. These results are for 1000 consecutive holding periods. Not fully realistic (no slippage, costs), just some model backtests to make the point so take it for what its worth. The basic strategy ranks all stocks from 1-10 using...

My vague memory from studying for the CFA exam is that the tipper cannot unilaterally impose a duty not to act by giving unsolicited information. Something like a fiduciary relationship has to exist (except in special cases like a tender offer), and if an insider carelessly releases information...

I'll do it, sort of. Not actual trades but I'll strip out some of the secret sauce and timeframes from my model and post my backtest results with and without the volume criteria. Not for a few days though.

Thanks for the heads up, I lose track of who's who. Actually sometimes I suspect there is a computer generating a lot of these posts and there are only a few real people here, but I have no proof. But some of my best friends are academics, OP does not sound like an academic if this is true!

It sounds like you have started with a strategy that works and asked the question whether your setup means different things in different volume environments. I don't think that is surprising that volume was not useful. I don't think volume should always make a difference by itself or combined...

I agree but I don't see the point. Are you replying to somebody saying trading on volume is a sure thing? I think we all know it's a probability game, price can move up or down after any signal you get. That doesn't mean there are not ways to look at volume that change the odds.

I replied on the "Volume analysis is to discarded as it is "too much information" thread.

The short answer is I am not trading on now but I have built models I expect to trade on at some point where volume is important. I think the paper I posted in the other thread is a good example of how I think about it. The author's basic strategy is that large weekly price moves tend to...

Hey Thunderdog and Aceholic, It looks like this thread went to hell. I'll start a new thread (unless Surf or somebody beats me to it) and respond soon but not tonight, I am fried. I was going to apologize for posting when tired and cranky last night but after seeing some of the other...

I can't believe I clicked through 40 some pages of this thread. I also can't believe there is so much philosophical and psuedo religous argument out there about volume. Volume is measurable. You should be able to test whether it does or doesn't do what you say it does. So here's my...

It sounds like CRSP would do it for you. NYSE daily data back to the 1920's, also has NASDAQ and AMEX. I think it is super-expensive but most b-schools have it, if you know or make friends with somebody at a b-school they might be able to help you. http://www.crsp.com/

I use SAS and it is very good for this type of analysis, but I don't think it is cheap and it is not super quick to learn. I hear R can do the same stuff and is free but I have not used it.

I don't swing trade, but is there a reason you couldn't use collars?

You don't tell us what your ultimate goals are - competitive for what? The other posters advice is probably good if you want to be a systems guy, but IMHO if you are interested in being closer to investment/trading decisions, consider higher level tools like Matlab and SAS and spending more...

I know all too well, I get brownian motion when ever I eat Mexican food.

Sorry if I misunderstood, maybe I am not good at reading tone of voice online:)

Maybe so but I think it is a neat trick that their model identifies stocks that funds are about to dump ahead of time and they go down.

These guys have a model that predicts flows based on lagged flows and returns.

Thanks, I'll check it out.