Price action and market participant

P

phattails

I'm trying to start a fruitful discussion on price action and market participation as a basis for possible strategy building. Please don't respond with something you read out of tech. analysis book.

What characteristics of market participants (funds,arb.,day traders, individual investors) are reflected in price data?

Does price action give any indication of the market participants?

If you were one of the big players, how would you hide your footsteps?
 
Quote from phattails:


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Does price action give any indication of the market participants?
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More...

Price is price. It is the velocity and ferocity of the MOVEMENT that can give suggestion, many times counter-intuitive. Take this evening for example... YM is up 200+ points, with over 100 points being gap. That's pretty ferocious! In the near 2 hours or so the market has been open, movement has virtually stalled. Sure, there has been a 20pt pop and a 20pt drop, but over 2hours, that's pretty rotten velocity given the ferocity. What does all that mean? I throw it back to the ET community at large.

Osorico
 
Quote from phattails:

I'm trying to start a fruitful discussion on price action and market participation as a basis for possible strategy building. Please don't respond with something you read out of tech. analysis book.

What characteristics of market participants (funds,arb.,day traders, individual investors) are reflected in price data?

Does price action give any indication of the market participants?

If you were one of the big players, how would you hide your footsteps?
More...

PA is a trailing indicator (see several threads in ET on PA) of smart money.

To see how price is going with respect to smart money you must use a non stationary window that sizes by landmarking what is revelant in time (volume bars are not useful at all).

Sophisticated traders lead smart money in order to be pushed by smart money.

Non price leading indicators of price are all custom and do NOT use reversion , etc, qunt analysis techiques as they are all market lagging by their data colection sampling techniques.

Academics do not write on this either as yet.

Put up the pepe script on tradenavigator platinum as a simple starter example.

Secondly, use the connors-hayward ( but neutral bias it fron the long bias of the equations) volatility compression analysis on the indexarb drift and offset. the sequencing of volatility compression (and it's absence) will work on any radio paper display running along side PC's.

As you see, this stuff is not out of anything available to you to read. It is also beyond fatails lit as well. In information technolgy or science, there is a sector that is non probabilistic. You are looking for translations primarily if you ever get there.

Markets do not deal in opposites.

You will well know when your footsteps ar being tracked. There is no such thing as integrity in the paths used in making money. It would be humorous to discuss reverse engineering. Equally humorous is the discussion of being "bought out".

Where a group to get to a place where their footprints were discernable or picked up, then it is a matter of poor planning and execution. No one I have heard of in ET has that problem.
 
Quote from osorico:

Price is price. It is the velocity and ferocity of the MOVEMENT that can give suggestion, many times counter-intuitive. Take this evening for example... YM is up 200+ points, with over 100 points being gap. That's pretty ferocious! In the near 2 hours or so the market has been open, movement has virtually stalled. Sure, there has been a 20pt pop and a 20pt drop, but over 2hours, that's pretty rotten velocity given the ferocity. What does all that mean? I throw it back to the ET community at large.

Osorico
More...

With all things being equal, that would indicate indecision.

Let me rephrase my question: Does price action give any indication as to the mix of participants?

For example, there are some stocks that move much cleaner than others (clean: the close is generally at an extreme, the daily range contracts and expands in a steady manner, overnight gaps are rare,etc.) . It would seem to me that this would indicate less arbitrage vs. speculation. Small caps move "better" than large. They reflect more speculation and emotion than the majority of stocks.

This is the type of information I'm talking about.
 
Quote from jack hershey:


Secondly, use the connors-hayward ( but neutral bias it fron the long bias of the equations) volatility compression analysis on the indexarb drift and offset. the sequencing of volatility compression (and it's absence) will work on any radio paper display running along side PC's.
More...

Should this be countered with normal distribution gaussians, possibly filtered with diffusion equations? I have found Weierstrass transform to be helpful and I would be curious to see if you have found the same.

Currently I use a gaussian filter built on hermite polynomials and orbitals using Dirac delta.
 
Quote from phattails:

With all things being equal, that would indicate indecision.

Let me rephrase my question: Does price action give any indication as to the mix of participants?

For example, there are some stocks that move much cleaner than others (clean: the close is generally at an extreme, the daily range contracts and expands in a steady manner, overnight gaps are rare,etc.) . It would seem to me that this would indicate less arbitrage vs. speculation. Small caps move "better" than large. They reflect more speculation and emotion than the majority of stocks.

This is the type of information I'm talking about.
More...

You don't get it. Price is price.
Read JH post... it actually makes sense in the context of your question. As did my initial response.

Osorico :)
 
Quote from jack hershey:

PA is a trailing indicator (see several threads in ET on PA) of smart money.

To see how price is going with respect to smart money you must use a non stationary window that sizes by landmarking what is revelant in time (volume bars are not useful at all).

Sophisticated traders lead smart money in order to be pushed by smart money.

Non price leading indicators of price are all custom and do NOT use reversion , etc, qunt analysis techiques as they are all market lagging by their data colection sampling techniques.

Academics do not write on this either as yet.

Put up the pepe script on tradenavigator platinum as a simple starter example.

Secondly, use the connors-hayward ( but neutral bias it fron the long bias of the equations) volatility compression analysis on the indexarb drift and offset. the sequencing of volatility compression (and it's absence) will work on any radio paper display running along side PC's.

As you see, this stuff is not out of anything available to you to read. It is also beyond fatails lit as well. In information technolgy or science, there is a sector that is non probabilistic. You are looking for translations primarily if you ever get there.

Markets do not deal in opposites.

You will well know when your footsteps ar being tracked. There is no such thing as integrity in the paths used in making money. It would be humorous to discuss reverse engineering. Equally humorous is the discussion of being "bought out".

Where a group to get to a place where their footprints were discernable or picked up, then it is a matter of poor planning and execution. No one I have heard of in ET has that problem.
More...

wtf are you talking about son? this makes no sense.
 
Quote from phattails:

I'm trying to start a fruitful discussion on price action and market participation as a basis for possible strategy building. Please don't respond with something you read out of tech. analysis book.

What characteristics of market participants (funds,arb.,day traders, individual investors) are reflected in price data?

Does price action give any indication of the market participants?

If you were one of the big players, how would you hide your footsteps?
More...

"If you were one of the big players, how would you hide your footsteps? "

Nice try lets see if you get some hits but i doubt any would give that away.


"Please don't respond with something you read out of tech. analysis book."


That's most of what you get on here and others passing along some good second hand info.
 
Quote from Jack Nestle:

Should this be countered with normal distribution gaussians, possibly filtered with diffusion equations? I have found Weierstrass transform to be helpful and I would be curious to see if you have found the same.

Currently I use a gaussian filter built on hermite polynomials and orbitals using Dirac delta.
More...

What a faint attempt... Just try to grease your butt when facing the market next time. There wont be any need to wait for a reply to get some strange kind of delight. It happens quickly.
 
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