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It can happen but that’s normally done in a dark pool. Lit exchange liquidity is too little for buy side firms to move size quickly. Dark pools have dominated venues for over a decade lol.

I think the issue is that there are a lot of hobbyist traders who prefer to have a sense of comfort and mystery in their trading. Reminds me of martial arts — some folks love to study wing chun and want to believe in chi. But going up 1v1 against an mma/ufc fighter is pretty much slaughter...

Hmm I see it from a different perspective. Both a “forecaster” and a “reactor” is predicting an outcome based upon some data. Both can be compelling. What’s smart is to analyze and test how well your signals predict outcomes before using them.

A buy side trader will usually analyze adv and seek to cap orders as a % of adv through some time period. If you have a block of shares that you need to fill, you’ll first reach out to crossing networks (dark pools or brokers), before doing anything on a lit exchange. Once you need to go...

that sounds nice but can you prove that it happened? correlation doesn't imply causation. O'Neil was more of an educator than a trader.

How does huge volume eliminate the retail investor? What if you’re just seeing a bunch of orders filling at the same time? And what makes you think that what O’Neil said is true?

Yep no one is saying otherwise

Ok so you don’t actually know.

Right — it’s faster to sort for momentum than to look at 50 charts of companies… point being you don’t need charts to analyze momentum, you just need price data.

So someone told you that “something something volume is institutional”? What were these people’s qualifications? How do you know this is true?

I think you're mistaking your personal philosophy with definitions of things like "risk" and "return" etc. New was a derivatives trader at a major bulge bracket bank lol, he knows what he's talking about.

Yes going through 50 charts of stocks is much easier than sorting a list of stock by the momentum criteria you seek...o_O

Where did you learn or pick that up from? What tells you that it's not just a bunch of retail orders?

Yes it was their primary project. 7 people. About $100MM to fund it. Trading profitably is a lot harder than most people think. They started by proving the existence of momentum and then had to prove that they could create a system that could harvest it. Once they developed a strategy that...

Initially not that great. Took them about 3 years of research to finally launch a profitable strategy. I believe they have moved into parts of the HFT business though the bulk of their trading is diversified momentum.

I did. Kalman filter on price data, plus constant analysis of lookback periods. They also measured the strength of the trend through cross-sectional analysis, volatility in trend, and volume profile analysis.

I'm not really talking about fundamentals. The only profitable strategy for retail traders on technicals is to harvest price momentum. But you don't need charts and patterns to trade it-- in fact, adding charts & patterns will just add noise. So just focus on having a simple trading system of...

What's the difference between that and randomly buying/selling with a tight stop? You don't need charts and patterns. Actually that's not necessarily true. Almost anyone can move the market, but the question is whether that move can be sustained. See: Nick Leeson.

AFAIK trend followers will constantly review and test lookback periods to measure the strength of the signal. They will typically apply a kalman filter on the initial data to reduce noise. I worked with a team that did this (a handful of PhDs and traders).

How do you know that it's an institution?