How can anyone who talks about sector rotation and HTF in one sentence be taken seriously is beyond me
and Respectfully, the ignorance around HFT, AI and the fairly recent changes to the market micro-structures never ceases to amaze me. It shows how shallow some market participants are thinking about the market. I think some people need to look for implications much deeper than may be apparent initially. It is why I have given up talking much about what I have learned. I don't need anyone to agree with me, I am comfortable with my comments. I wrote to the best trader I know and told him that the market was different several years ago. He also pooh poohed me, but several months later "got it" and revised his systems to adjust. He also thought that micro structure has no impact on macro structure. I think he would no longer hold that premise. I didn't express myself well. quants don't mess up (I presume you mean change) sector rotation, the new methods of entering orders hides information better and makes decoding exactly what is happening more difficult. The longer it takes a trader to decode, the less potential profit there is. Many recent things are related - disappearance of human Market Makers, reduction of volatility, exodus of retail traders, poor results of hedge funds, blowup of some prop shops - including some of the biggest BTW, etc fall out of thinking about the implications. Hopefully I have made my comments more clear. I don't fear the changes, but I need to understand the implications to adapt. Simply that.
What does changing microstructure has to do with sector rotation, which works on a pretty long time frame?
gmst, Here are some of the links I have been looking at http://www.traderslaboratory.com/fo...anaylsis-fair-value-intermarket-analysis.html http://www.traderslaboratory.com/forums/trading/10557-list-etfs-sector-rotation.html Theres one more that I cant find that I didn't book mark but it was written on elite by someone named GOB, some people say this is Jack Hersheys Old Handle but it was actually the best one I read. I'll post it when I find the link Obviously the focus of this thread and strategy is going to be based on interday and week but i've always been wondering about its applications for intraday trading
GMST, This is the article that really got me thinking http://www.elitetrader.com/vb/showthread.php?s=&threadid=31701&perpage=6&pagenumber=1 Whatcha think?