BlowFish

A bit tough, I am loath to make 'recommendations'. I went back and re-read the original post and the poster was specifically interested in MP, not really my thing. Also my favourite books are perhaps not the best recommendations. I guess my all time favourite and highly recommended is Reminiscences of a Stock Operator. It works on many levels, the only book I have read 10+ times. Stacked full of trading wisdom (including what happens if your position size is too large!) Talking about 'ruin' a decent book on money management should be on the list. One of Van Tharps though I think I prefer the couple of chapters on the subject in The Futures Game: Who Wins, Who Loses, & Why. There are quite a few resources on 'price action' (imho a more worthy pursuit than many types of 'analysis') an olden but golden where you can get 2 for 1 is New Blueprints for Gains in Stocks & Grains and One-Way Formula for Trading in Stocks & Commodities by Dunnigan. This has quite a lot of 'process' as he quantifies different price action and goes on to methodoligies based on his observations. If you go to university there is always a module that is heavy theory/technical that people cant see the point of/find difficult. Trading and Exchanges: Market Microstructure for Practitioners is a book like that module. It is rather difficult but loaded with information about markets. I read this fairly recently and actually rather enjoyed it and learnt a lot. It details the different types of participant, why they trade, and how. It's a whole lot more too. Most will no longer use terms 'institutions' or 'big boys' (or the one I hate most 'smart money') as catch all expressions after reading this. I guess you could throw in a Douglas for the psychology module required reading probably Trading in the Zone: Master the Market with Confidence, Discipline and a Winning Attitude though I think that possibly his first book was the better one. What are your 5?

Well it's been some years since I watched the videos or read the threads (though at the time I did many times), I am pretty sure that they do not advocate using the PVP as a stop. I may be mistaken, it would not be the first time. Perhaps re-read Jerrys first few posts in this thread, again my whole understanding from them is to get away from thinking of 'stops' (apart from emergency and account sized based ones) and start thinking about risk and scaling (adding to a position) or reversing. If the PvP 'jumps' due to a new high volume point forming and the skew changes a newbie should exit, is that what you mean? That is a little different to a stop. My understanding is the modal point (pvp) is a low probability place to consider these actions. Edit: Are you talking about http://www.traderslaboratory.com/forums/attachments/6/2044d1185246572-trading-market-statistics-iv-standard-deviation-eslongjuly23.swf ? How far in?

I hope Jerry is still around to comment but could you link where Jerry talks about using the PvP as a stop? I may be completely wrong but I have a suspicion you might have got the wrong idea about that.

malverd at this stage of the threads things are about the current days sample. (later Jerry Introduces some other concepts with larger samples). I don't know TorS but I'd try daily with 2 minute bars to try and get similar charts to Jerrys. Follow through carefully and later he talks about different settings for scalping and longer trades.

Yes, I think his plan was always to help people 'discover' for themselves. Sometimes he could seem somewhat abstruse other times remarkably blunt. All sorts of good stuff about the process and working purposely towards specific goals. Anyone that is interested in Wyckoff owes it to themselves to take a look at the W section here and DB's blog (here again).

You might want to consider RoR (Risk of Ruin) at the same time. This is a great little free site that explains it simply TradersCALM - Calculating risk of ruin Knowing, and being comfortable with the likely hood of wiping maybe worth considering alongside maximising your gains. Chances are the latter will have some sort of impact on the former.

It was not a book that I was aware of thanks to the heads up. I would not say I was a Wyckoffian exactly. Being some one that likes to ask 'why' (perhaps an inpediment for a trader) I find the 'laws' of supply and demand plausible and they provide a foundation for a 'belief system' that allows certain approaches to 'make sense'. Incidentally, thanks to DBPhoenix, this site has possibly one of the best depositorys of Wycoffian material on the interwebz.

Whether markets are 'truly fractal' or not they do appear to have a deal of self similarity. So, supply and demand played out through price action looks similar regardless of how you view it (assuming you are using a chart). Obviously 'support' viewed on a weekly chart is a different animal to 'support' viewed on a 3minute chart!

Beaten to it. Fooled by Randomness is another on my reading list that I was going to mention to keep on topic As far as I know Jerry still trades using the tools he presented. Whilst on the surface of it there are some cosmetic similarities to MP there are as many differences. The VWAP is a great reference point and in any given sample it is completely 'current' thereis a good reason it is used by 'jobbing' traders working size for customers with large positions to deal with. With financial data series there is no reason that you can not make your sample size the whole population providing you are only interested in relatively recent data. When sample size equals population size probability and statistics have even more synergy. Arguably probability is more backward looking than statistics as it requires information about the whole population. Of course in practice you would probably only look at recent data that you felt was current.

No I haven't yet, thanks for the tip. I get the impression it it is now a pretty well regarded tome for anyone interested in more quantitative/ systematic approaches. I will try and get a copy to read (on hols at he moment). Personally I kind of like the idea of supply and demand and the markets moving around in a search for liquidity. This sort of 'belief' (if you like) naturally leads to a particular type of approach to the markets which whilst undoubtedly 'technical' is probably a fair deal removed from 'traditional' TA.

Agree with that. Markets absolutely do not have a normal distribution. MP is a heuristic approach anyway so not really based on any real maths or science. Having said that statistics (proper statistics rather than some sort of heuristic) can and are used on all sorts of other distributions including completely random systems. Then again financial data series seem far from random to me (but that is a whole other debate).

Actually that would be a great topic for another thread. "Does the Market Have Context". An off the top of my head answer would be yes it does and that you can demonstrate it mathematically/statistically. Probably end up like the "random walk" threads always end up degenerating (or so it seems). Incidentally I was not saying the market has context in my previous post (though I guess I have rather tipped my hand to which way I'd likely swing now!) I was just that MP (as I understand it, which is not to any great level) claims to provide some sort of context. Did you read Jperls market stats threads? I found they resonated much better with me than any of the MP stuff that I ever looked at.

Not quite sure about your logic DVL. Just because markets are not mechanical does not mean that a mechanical approach to trading a 'chaotic' system can not succeed. You just have to look at the published figures for program trades. Are you saying the failure rate of traders proves that mechanical systems don't work or that it proves that markets are not mechanical? Either way I don't really see it as a logically intact argument. I should quickly add that neither am I a 'mechanical' trader nor am I a MP trader (which probably makes me eminently unqualified to comment ) but it seems to me that one of the cornerstones concepts of MP is to provide context to the market. I wonder if you have come across the '80% rule'? First time I saw it it was used as justification for a pretty simple approach to trade VAH VAL in a systematic fashion, you don't even really need to know anything about MP. I once saw some pretty rigorous testing that strongly suggested that it could be used mechanically and profitably. Edit: Must read 141 West Jackson, one of these days.seems several people enjoyed it.

Hi Rande, trading is an amazing vehicle (imho). I think most who pursue it will discover all sorts of things about themselves regardless of where the journey takes them. The section I I highlighted above is something that was an impediment for me for a time. Another thing that was mentioned earlier in the thread was 'mental challenge' again looking for intellectual satisfaction for me was a possibly my biggest 'hurdle'. I wonder if you ever read Eddie Toppels book Zen in the markets? His whole thesis is that wanting to satisfy the ego is responsible for most peoples issues with trading. Interesting read. Another thing that was mentioned earlier was seeking excitement. Whilst It was not ever an issue personally seeking 'excitement' from trading would be something I would be cautious about. I think Might Mouse was near the mark ...if it is not rather dull and monotonous you probably aren't doing it right (the actual trading bit of the equation that is) Sadly a bit pushed for time I'd like to respond a bit more fully., To put it shortly facing what I see as challenges can be rewarding in it's own right.

Quite so, however once someone has become the 'trader they need to be' I can't help thinking quite a few would answer differently regardless of whether they decided to continue or not. I wonder if some of the expectations will not be realised through trading and that they might actually be inhibiting what 'traders need to be'.

A quick update. I have been doing some testing with TSSuport I am pleased to say they are taking these issues very seriously and have been doing a lot of work behind the scenes. I had heard on the grapevine that Rithmic had made some changes to their infrastructure and that it the data was currently pretty top notch. I decided to spend a few days testing and doing a bit of platform testing at the same time. I actually used Zen which in theory should see the same improvements. As MC is my package of choice I decided to write the initial test stuff there. It quickly became apparent. that something weird was going on, one of the things I logged was if the bid >= ask. That was triggering now and then. It would appear that there are a couple of 'wrinkles' with how Zen reports some trades anyway to cut to the chase TSS have changed their zenfire connector to accommodate these. I notice you get crosses in Ninja too incidentally. I also hear that we will be ale to construct historical bars tick by tick, initially for IQfeed, this should allow cumulative delta to be plotted correctly when loading a new chart. I am rather looking forward to V7.0! Edit: I have not seen race condition for quite some while, hopefully that has been fixed in all the updates. I guess I should turn back on the code that deliberately tries to cause one!!

In the past Fulcrum Trader has often said that he has compared IQFeed's data with "institutional grade data" and that they match closely. I don't know which feeds. He also says he has matched it with "cme data runs" I am guessing that by this he means CME Top of Book (TBO) data? Again not sure. You could always shoot him a PM, I dunno if he is round much atm.

I'd like to see thread necromancy more heavily moderated. <shrug>. Incidentally the site was sold some while back so whether this stands under the new management, who knows? Finally what has set TL apart in the past is the community, it hasn't been a problem in the past I am not sure why ot would suddenly become so again.

The posts and charts to check out are Fulcrum Traders. I see chart 2 is your CD, imho it is simply clearer plotted in the same way as you plot price bars. You will see it makes levels, has tests, has higher highs lower lows and all that other price action stuff, plus you can still clearly see divergences. As I say chek out Fulcrums stuff he has a web site with videos and such, he goes into some detail on ways to use CD. The chief thing he does is use it as a proxy for inventory. Whilst non cumulative delta can be looked at as histograms or an oscillator the whole deal with cumulative delta is that you are interested in ....well how it is cumulatively for the period you are interested in.

Be nice to have CD displayed as candles / bars. OHLC would represent the opening high low close of the delta for that period.

Naa they probably existed 2000+ years ago in ancient Greece (Aristotle strongly eludes to it). They certainly traded rice futures a century and a half before Chicago in Osaka.

That's what is called for i believe. The price of the element is divided by the volume of the whole sample. This means that every time a new element arrives (bar) you need to re weight every single element in the sample with the new total volume of the sample.

ShareW already is the total volume (which is what you want) each run through you are accumulating the total volume with. ShareW = ShareW + (UpTicks+DownTicks) ; I think the short answer is no (but I could be wrong)

Ha! arguably because they are not good at working the market they got caught. A quote from the article “As trading gets more complex, it’s almost impossible to have perfect rules and systems in place to regulate it.” Also what they actually got done for (or so it seems from the article) is reporting issues. "Deutsche Bank breached stock exchange rules governing the disclosure of computer-driven trades by filing a report one minute late that day" So the 'manipulation' was OK the reporting was not. Now they have tried to legislate around it by introducing limits on holdings for institutions (7500 cars) and individuals (5000 cars). Can't see that ending well for anyone. Anyway interesting find.

Of course that is your prerogative. Win or loose it arguably has more trading wisdom than any other book published. It has several different levels. If you read Market Wizards you will see it is often recommended in fact one trader kept a stack of them and it was mandatory reading for his new traders. As for the 'manipulations' now being illegal, that is largely guff. Large positions are accumulated and distributed in pretty much the same way now as they where then.