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UrmaBlume

Measuring Pressure

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  rsagi said:
UrmaBlum,

 

Great intellectual stimulation you provided. Here are some of my observations and some thoughts:

 

1. Since you are from Pete Steidmeyer era, I am interesting in knowing about LDB (Liquidity Data Bank). it is my understanding that it was "pulled off" by the exchange due to demand from institutionals claiming that the retail trader can "decipher" smart money from dumb money? Was this the reason and was a retial trader able to distinguish and categorize volume (I think it was called CTI1, CTI2 etc describing each participant in the market and the data was provided EOD or every 3 hours?)

 

2. Your "Derivatives" reference caught my attention as I try to look @ the markets from a holistic point of view. One of the things I heard was that in recent years the majority of the OPTIONS volume moved to ETF's.

There was also a software called VANTAGEPOINT which uses neural networks for "forecasting" market movements- have u has a chance to play with it?

 

3. Some of the stuff I have seen on your website reminds me of: Futures Scalping Home Page

 

I recently read an article by a Fidelity exec that said that DarkPool's transactional size was increased by 10% each year the last 2-3 years - will be interesting to see how this will effect the exchanges - maybe this is a new paradigm shift. The only thing I failed to grasp is that these markets are NOT quote based..so I'm not sure how they provide liquidity.

 

Sagi

 

 

rasagi,

 

Thank you for the kind words.

 

1. You are right about the LDB reports. Peter had learned from being in the pits that it was the commercial trader who most often formed the day's extremes. He knew because he know who the guys were and knew that when the put their palms out they had size to sell and palms in - size to buy.

 

The report, reconciled by account holder showed the total volume at each price and the percentage of trade done by commercials at each price. We downloaded the report via phone modem each night from the CBOT.

 

Now using today's technology, the early teachings of Peter and some points I have picked up along the way we use our "Intensity of Commercial Trade" indicator, demonstrated in other threads, so that we can find this intense commercial trade in real time and not after the market has closed.

 

 

2. As to VantagePoint and Neural Networks - I don't know anything aobut VangatePoint but we do use neural networks, genetic optimization routines and such automated polynomial generators as MARS (Multivariate Adaptive Regression Splines). While MARS comes from Salford Systems we write our own neural net packages and genetic code from scratch, here in-house.

 

3. You say my site reminds your of Futures Scalping page - I certainly hope not and would ask you to take a closer look at both.

 

As to dark pool trade - it is of little concern to us. What is of concern to us is the hedging and other activity in various equity derivatives that occurs as a result of dark pool trade.

 

Thanks for the query

 

cheers

 

UrmaBlume

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UrmaBlume,

 

Another interesting link you may find interesting is: http://www.traderslaboratory.com/forums/f56/volume-splitter-5824.html

 

I am also currently working on some ideas in the Bid/Ask space and Depth of Market. We are a 3 ppl team (two developers with years of experience ranging from computer game development to security, statistics, web design, indicator development, and low level assembly language...:)

 

We are also toward finalizing our intensive Gap Research which so far shows great promise.

 

Some of us were founders of technology startups and inventors (I wrote a few patents in my past). Non conventional thinking and unique approaches to solving problems is something we consider our selves good @.

 

If you have any interesting ideas you would like to share/collaborate - I would be open to helping develop them (NDA is not an issue as long as we can enjoy the fruits of our labor...:)

 

If there is interest -PM me- I can show you some of my past startup projects.

 

This invitation is open to other members of the forum which are experienced traders that have potential "disruptive" ideas but no programming/development knowledge.

 

Best,

Sagi

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  rsagi said:

There was also a software called VANTAGEPOINT which uses neural networks for "forecasting" market movements- have u has a chance to play with it?

 

I just did a little research on Vantage Point and they do not use neural networks and have scam written all over them. Their 80% winning percentage claim is a joke if you read it carefully. The inter-market analysis this software supposedly uses gives you the same results even if you remove markets from it and their other "leading indicator" is just a MA crossover. This is also what I found:

 

  Quote
I should also add that one of my fellow TradeStation users bought VantagePoint when she first started trading a number of years back - she consistently lost money trying to trade the VP output. So MarketTechnologies put her in touch with one of their VP specialist IB brokerages who traded the VP output for her in exchange for a commission.

 

I'll quote her directly from the TradeStation forum: "Trying to trend trade on the crossovers was a terrible losing proposition -- and I was paying a special VP broker (a lot!)to assist me in doing it correctly. But the market was choppy and I got relieved of my entire first tradeing account (as well as the $5000 for Vantage Point)!"

 

My point being that if a broker recommended by MarketTechnologies who *specializes* in trading with VantagePoint can wipe someones entire account out, how can you expect to do any better?

 

There are more customer reviews telling to you to avoid it.

 

  rsagi said:

3. Some of the stuff I have seen on your website reminds me of: Futures Scalping Home Page

 

Could you do as a favor and at least have a quick look at the software you talk about?

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  rsagi said:
UrmaBlume,

 

 

If you have any interesting ideas you would like to share/collaborate - I would be open to helping develop them (NDA is not an issue as long as we can enjoy the fruits of our labor...:)

 

If there is interest -PM me- I can show you some of my past startup projects.

 

This invitation is open to other members of the forum which are experienced traders that have potential "disruptive" ideas but no programming/development knowledge.

 

Best,

Sagi

 

 

Thanks for the offer. We too are always looking to collaborate with anyone with "disruptive ideas."

 

I have sent you a PM with our reservations and an invitation.

 

One point is that it is "disruptive" trading and market concepts that are of value and not technical skills. Today programming at any level in any language, platform, database or operating system is a world commodity, is very inexpensive and of itself is a given and adds no particular value.

 

This is a major issue with many of the Quant Super Funds - plenty of math and tech skills but no deep understanding of what motivates price and premiums.

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AgeKay,

 

Thanks for the wonderful education (which I'm already aware of by the way...)

 

I have seen the critics of the system, thus I did not recommend nor criticized VantagePoint software as I have never used it myself. Through the years I have become somewhat of a pessimist my self as this industry is full with used car salesman selling snakeoil -that being said - I also learned to take an educated chance every now and then since you may miss an opportunity of experiencing 1-5% of the genuine educators, platform developers etc.

 

In regard to your ATTACK about me not doing my "due diligence" before writing something here I suggest you do the same as here is a quote from VantagePoint's website about their software and founders background to support that is is based on NEURAL NETWORKS :

 

  Quote
Using neural network technology, technical analysis and intermarket analysis, VantagePoint finds hidden patterns and relationships between twenty-five related markets and a target market.

 

Several years later, in 1991 he introduced his second generation intermarket analysis software program, VantagePoint Intermarket Analysis Software, which applies the pattern recognition capabilities of artificial intelligence to global intermarket data, and quantifies the effects of related global markets on each other in order to make short term market forecasts.

 

Since then, Mr. Mendelsohn along with his research and development team, The Predictive Technologies Group, has been focused on the accelerating globalization

 

Could you do as a favor and at least have a quick look at the software you talk about? NOT SURE WHAT YOU ARE TALKING ABOUT

 

Anyway, Chill man, chill....

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  rsagi said:

In regard to your ATTACK about me not doing my "due diligence" before writing something here I suggest you do the same as here is a quote from VantagePoint's website about their software and founders background to support that is is based on NEURAL NETWORKS:

 

Do you believe everything a car salesman selling snakeoil tells you?

 

  rsagi said:

Could you do as a favor and at least have a quick look at the software you talk about? NOT SURE WHAT YOU ARE TALKING ABOUT

 

You said UrmaBlume's work reminded you of FutureScalper, but it has nothing to do with FutureScalper and even UrmaBlume told you to take a closer look because he disagreed.

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AgeKay,

 

The answer to your first question is is my Second post- I guess you missed it again ...;)

 

Anyway, wer'e grinding water - lets terminate the discussion as it has become fruitless.

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