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I'm a total slacker but if you integrate marginal density functions with unknown variables the solution will be a function involving those same variables. But, depending on the integrand, the resulting function may be very complex or even have no closed form solution. Each case will be...

I started using these. I think they're decent for confirming/screening whatever type of read you're getting. Upvol/downvol seems pretty good. I'm guessing it's similar to $TIKI.

Get that money.

I have charts where I don't even have price on the screen. It's just Wilder's, LRMAs, and Kaufman's AMA. Indicators are useless? Really don't get where you come up with this stuff. VWAP is everything.

Hi Ken. I'm starting to look into the market internals, and am finding these useful. Just wondering if you think there are any others I might want to look into. (re the topic - struggling with position trading lately) Thanks.

You seriously think retail traders have one fucking clue what is going on in the treasury basis? You think they could even tell you what index basis trading is? Rate differentials as well. I didn't say you can't make money. I said you're not getting ahead of them. Big difference. Never said...

Professionals watch what is being traded (as it trades) and retail doesn't even know what's being traded. They don't know what is driving price, in something like ES. That's why they are always talking about retail techniques instead of the trading being done by the institutions and the...

There are edges that are specific to index futures. Single stocks are different. Futures can be used to create synthetic indexes and portfolios.

100k risk capital is enough. But, you aren't going to be living large until you double at least once. Have to be realistic about what kind of income you can generate under risk controls. There is edge, but retail isn't prepared. Generally speaking, they don't know the treasury market, and...

This is bullshit. If anything there are deflationary pressures because of all the credit contraction and deleveraging that is gonna have to happen. A covid economy can't support financially engineered RE valuations.

When you say "daytrading" you really have to specify what you mean. (First, what I think you mean.) Trading liquid issues in and around the premarket, open, day session and close. Using stuff like RSI, momentum, breadth, indexes, and sector analysis, screeners, etc. But there are many other...

I used to think it was useless, but now there are a few things I would like to backtest. Most of it kinda requires more advanced stuff than I am able to do. Few ideas.... Distribution of deviations from VWAP during the cash open for index spreads. Volume distributions of aggregated futures...

I agree. Biden is an obvious fall guy. The fix is in. He can't even string together a coherent sentence. It's amazing that nobody is talking about this. His ad on youtube leaves no doubt about it --- medically unfit for office. It's shocking that this guy is even considered a viable...

Using hedge ratios and cross hedging with related instruments. VWAP and regression will detrend the spreads. Works well in rates and indexes.

Why do you trade indexes over other asset classes? So much dumb money in equities. All kinds of choice constrained participants and participants without any market understanding. Endless opportunities. How did you develop your strategy (strategies)? Microstructure, quant finance, mathematics...

It's almost always some combination of long/short and can involve physical, OTC, forwards, futures, structured products. Market making, relative value, arbitrage, asset management (managing hedging and hedge books). Prop is a different thing entirely. Much more levered. Much less room for...

You want to make a website that could read (in real time) from an excel sheet and have configurable charting and analytics..... Is this what you are talking about? I would be interested in that.

LOL

The first answer is yes, the NQ/ES spread will move less against it's own trend because it is cross hedged. I have ways to aggregate the volumes, but I don't know that you can get footprint without some kind of custom coded software. Range bars sounds like a possibility. Always compare the...

Using the PREM is like quant stuff. You have to denoise it, detrend it (even transform it) and then figure out what the data is telling you. It's really complicated to do that. But very worth it if you figure it out. Some people will say that it is just noise, or there is no edge in it...