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I found the data. I was right on where spy was at around 10:10. Where do you think it is heading tomorrow? It seemed as if bears were waiting for a rally and bulls were shy.

Spy @ 184.38. +0.07

spy @ 184.74. + 0.25.

SPY@ 184.85. The ride is not smooth. +0.20.

Added Minus 185.05

Now let us see if we will have an end of day sell off.

Minus SPY@ 184.99

Minus SPY@ 184.45

Minus SPY @ 184.33

spy 184.85. +0.35

Minus SPY @ 185.20

spy@ 185.30. +0.70.

Minus SPY @ 186 (I am on short side of HD. Where is it going?)

Continuous Kelly says that the leverage should be R/S^2. When you time that by R, you get R^2/S^2, or square of sharp. (This is assuming that risk free rate is zero).

You need to include the covariance matrix of the three choices, because the three outcomes are not independent. The results would be a strategy containing more than one choice, as this will allow you to reduce the overall variance without decreasing the arithmetic return which in turn will...

Reduces variance by 2, and reduces STD by 1 divided by root 2 = 71%

Thanks Ammo! Are you getting more backers? I believe there may probably be only/mainly free loaders in here.

Are there screeners/sites/etc that could provide for a given day (say yesterday) the biggest movers normalized by IV? If you have some data and could share it, could you please rank the nasdaq-100 stocks, and the dow stocks?

Ammo: great charts! I particularly liked the display of information in the dow chart, the closeup on the SP and the NDX chart.

Are there sites where one can get the market profile/volume for a given symbol, as well as charts for Uvol and Dvol in real-time?