Market studies with the method, the sample size and the code behind them. When a
study came from someone else's work we say so and rebuild the numbers ourselves.
A 50K evaluation asks for $3,000 before you give back $2,000. Atty Prop ORB won
77% of 707 Nasdaq trades over the last two years against a break-even
of 73%, and 68% of simulated evaluations passed. The
Nasdaq trade also lost money in 4 of 9 years, and every one of them is in the table.
A viral clip says a candle established inside yesterday’s value area fills value 80% of the
time. On every Nasdaq futures session since 2018 it filled 48%, wide value areas filled least, and the
initial balance’s first test was a coin flip. One 1-minute reentry rule survived every
out-of-sample test, small and Nasdaq only.
Jewish holiday sessions averaged 0.00% across 528 stretches since 1928, and “sell
Rosh Hashanah, buy Yom Kippur” was wrong in 46 of 99 years. Shemitah years averaged
−3.4% against +9.8%, a gap that held up, on 14 years that look more like a few long
bear markets than a date.
Crowd-driven stocks trade 19.8% of their volume in surges, against 9.0% for quiet
large caps, and the surges keep going. The loudest bars are followed by an hour
1.17× bigger than normal, and by a move in the same direction only 48%
of the time. Stampede uses the reading for the first and not the second.
Four futures markets spend a session’s volatility on completely different
schedules. Halfway through the clock, 59% to 68% of the day’s movement is
already done, and at three-quarters through a clock-based projection
draws gold 38% too wide.
The same 1,200 tests asked twice on four markets. Predicting the direction of the
next move replicates 0 times out of 300; predicting its size replicates 175. And
seven famous price levels, tested against a placebo at the same distance, do
slightly worse than the placebo.
Split the snap-back to a Bollinger, Keltner, VWAP or regression band into what
price did and what the line did. Across 16 band-and-window combinations on four
futures markets, 96 to 98 percent of it is the line refitting itself. The
tradeable half is 0.84 ticks against a 2.28-tick round turn.
212 scheduled Fed decision days and 59 minute-by-minute sessions. The morning
runs at 0.6× a normal day and the press-conference hour at 3.1×.
The direction everyone quotes (hike 55%, hold 57%, cut 48%) does not survive
a confidence interval.
·13 min·SPY 2000–2026·8 references
On the bench
The Sharpe ratio mirage. What happens to a performance statistic when
hundreds of good-looking strategies are tested: how high a number luck alone
produces, and how much of it survives being moved to data the search never
saw.
A fifteen-year gold edge that is narrower than the spread. The London
auctions produce the three strongest half-hours of the day, in 16 years out of
16, and the move is 1.3 ticks wide against a $10 tick.
Is the FOMC afternoon priced? Whether the 3× volatility window
covers the cost of owning it, once the post-announcement implied-volatility
collapse is accounted for.