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http://www.barchart.com/charts/futures/EDZ15&style=technical Some doubt of a rate hike seen in stocks yesterday due to poor US manufacturing data. Notes and bonds rallied pretty well. Very little movement in the DEC2015 90 day eurodollar contract. This contract has a couple weeks to expiration...

:D You may want to change Scalable to Large to avoid the unpopular acronym

Volume at Price seems to be based on a positive linear relatiomship between volume and price. I dont see this at all. Large liquidity at a level where price stays for some relatively lengthy period of time yields high Volume at Price.Then, liquidity(volume) can become very thin as price moves...

Seems we try to do intuitiely , when math challenged , what should be done mathematically. Probably removes a lot of bias, opinion and irrational beliefs. The Kalman filter ...well what a great new concept to me. It would be nice to be able to model, measure, test, then correct multivariate...

Mr. Brown My use of Renko charts is to eliminate/ filter/ low pass noise. Selection of the range bar is a direct function of my determination of the amplitude of noise to eliminate. I am left with significant price swings of clear direction( in hindsight anyways). As useful as this is with EOD...

I remember reading articles in a futures mag regarding system testing by Mr. Brown. High school level debating skills level the playing field on this site. He has been trolled.

Markets agree with you. From Zachs 9/28/2015, a retest of Aug lows and a Yellin speech was a start of present rallies in global equities. From Zachs 9/28 "Late Thursday Yellin indicated the lift-off option is very much on the table for later this year. She was also optimistic about the US...

Worldwide pressure not to raise rates wil probably continue to increase before the December FOMC. meeting. Dont think fed wants to hear oil will be higher with USD if they raise rates. Guess everyone will do whatever it takes. Another reason to lean against a December hike.

Thanks , and that analogy is understandable. But , still , the analogy seems to make good sense with or without "time" as a factor.

Mr. Brown, being an amateur without a strong math background, generally speaking, can you elaborate and possibly give a concrete example. I am thinking of unordered daily return data over many years that does well with a Monte Carlo run.

The chart ratios are roughly( based on 60 day volatility) 526 shares IEI ------------- 200 shares FXC. Over 100 shares SPY ---------- 216 shares UUP Away from computer. Would have to check accuracy later.

Simple linear regression? There is a hell of a lot more to ACD.

Excuse/ignore the dates at the bottom of the chart. I agree it is mis leading but i havent fixed that yet for public display. The EOD data is indeed current. The ratio of the legs is presently to neutralize volatility( I use a 60 trading day average of daily returns) so , for example I would...

Here are trade opportunities over the last 300 or more days with trend. this is long the spread IEI/FXC ( a winner) and short SPY/UUP ( a loser) , hence the trend. Opportunities not plainly seen by all. There are thousands of these across asset classes. only need a few I guess due to capital...

God forbid one party would advocate for seniors, savers, income, military COLA etc... Im just not sure which, if any party! Everyone knows rates are at zero for our own good and anything otherwise would require a week or two for politicians to bone up on new sound bites to hit the stump...

Nitro, How little known a synthetic spread do you feel is reasonable.? Software can scale volatility or detrend a spread so that it is MR. Does it make sense to do this? In another case , Matching 3 or 4 assets can lead to a MReverting spread but who is to say how much sense , for example...

Cmon, you are making that up.

I am interested, Thanks Gambit.

So, i am looking at a lot of lead/lag correlation data. Etfs vs. Etfs and spreads of Etfs vs. spreads of ETfs. Trying out cross correlation data and standard correlation data. Basically i am looking for significant (6 of 10?) where for example , a risk spread will follow another risk spread, lag...

Recently, early 2015, China experienced a little capital flight and apparently, so I read, sold some US treasuries. Their equity market swooned as did emerging market equities as US interest rates rose. At the same time the Europe bond route was under way (hmm..)and the 10 year bund spiked to...