You are talking about service providers choosing the wrong mathematics. Market data comes in a certain form and the rules of market operation are clearly defined. This is a 100 millisecond to 10 millisecond world at the fastest trading level. We SEE the smart money NOT able to do any time rate of change calculations on data flow. Here are the big boys they see each other at work since they often do order placing that shows for some reason. Apparently they do not measure the gerunds of the order flow that shows. Has any of the ET traders noticed when price changes in a market? I don't think so. In the slow PVT trading the time between the indicator signal and the variable traded moving is about 1 and 1/2 hours. Agility is not required. This means a PVT trader has time to do whatever he wants. Lunch for example.
Here is a perfect example. Since long before even you were born, market mavens defined a parameter they called "volume." What bullshit! "Volume" is shares (or contracts) per unit of time, the first derivative of the "size" stream on the tape. Not realizing this, it is easy not to ever think that the second derivative might be useful.
The attached is used on a platform column entitied "unusual volume". It is a number where the ratio of actual volume divided by the 65 day average is inserte in the column. I snagged 30 illustrations of this column one day. the reason I did was that one the day before we chose a hot list and compared the hot list to the owned list to do crossover trading. I had the video of my explanation of the 30 snagged charts camtasia'ed and transcribed. It was 70 some pages long in color. the last time I handed it out was a couple of weeks ago. the date of the camtasia was 22JUN06. The typed title was: "Putting the Pieces Together". using this on the NAZ100 for a year yields a Sharpe Ratio of over 60. this was determined twice by worden bros using a drag and drop. (Boolean algebra rough representation of the rules).
as you know you only have an hour and 1/2 to take care of this phenomena. I would call it short lived phenomena. Later when we get smart minds we throw in a lot of "comparitors". Cetainly, we do not want to ask what they are so we go to page 22 of the GFTI document entitled: "M3 Trading Summit September 2012". This was part of session IV of XVII sessions. It also appears on page 4 of he GFTI "Functions Manual" which is available for printing under manuals on the bottom of the home page of GFTI. Comparitors are operators that tie functions together.
I am brewing up overnight an example of the PV relation at work on the tick level. If everybody plays nice I'll post it.
thanks so much. By adding one more element which steps into new territory, we all can see the total possibilities. Add a first bar that casts a shaddow laterally over bars 2 and three whereby bars 2 and 2 are within or @ the extremes of the first bar. here you see the function generated makes use of more of the possible operators. also note that if you are coding these phenomena which form a total system, some of them can be streamlined into one subset which has an identical coded description. I hope a lot of you are enjoying this. It will be very rewarding for you. my belief is that the current practices all will give way to moving forward in reasoning. As for now, we just get to take candy away from babies.
this is funny. Liz won a vacation in Napa valley. we shopped and I bought a small sign that says: "I'm a hybrid; I run on wine and chocolate." My fav Nobel today is Stiglitz. Check out his book writing on Wikipedia. The most recent shows how we went off the cliff irreversably. when I lived in switz, I was one ridge away from a very large chocolate plant. when the wind was right ,it was like being in Hershey....lol.....