Posts Tagged ‘moving average’

More Observations On HFT’s Tyranny Of Stock Markets

More Observations On HFT’s Tyranny Of Stock Markets

Courtesy of Tyler Durden of Zero Hedge

Anywhere one turns these days, bashing HFT is the new market normal. Having written 150 articles on the topic, beginning in April 2009, we are happy to have brought the world’s attention to this most dangerous of market aberrations. Yet until the SEC finally bans the practices of micro churning, quote stuffing, positive feedback loop chasing, flash trading, subpennying, DMA accessing, and all other aspects conceived merely to provide some market participants with an unfair advantage over everyone else, the fight against HFT must continue.

Which is why we draw your attention to two items: the first is a paper by Bluemont Capital "The Marginalizing of the Individual Investor" in which the authors question if HFT has distorted true market valuation (yes) and to what degree. Some relevant soundbites: "Unfortunately, high-frequency trader interaction with computerized algorithms of large-cap financial institutions is providing opportunities for high-speed, virtually undetectable market manipulation", "At a minimum, computerized high-frequency and algorithmic trading are undermining traditional value investing strategies. Short-term liquidity and data movements are distorting information on real business performance", "Essentially, high-frequency trading platforms function as positive feedback loops. Engineers treat positive feedback loops as inherently unstable, as each positive response generates stepped-up repetition of the same actions. Positive feedback loops result in an ever- expanding balloon, but like all balloons, the risk of bursting increases with the balloon’s size." It concludes that the "continuing advances in computerized trading pose challenges for regulators throughout the world—and leave individual investors marginalized… Regulators should not only seek to assure that markets are able to continue to function under stress, but they also need to devise remedial actions that protect individual investors who have fundamentally different objectives from the high-turnover objectives of high frequency traders and computerized algorithms."

The other notable item is the appearance of our friends at Nanex on ABC radio over in Australia, where firm founder Eric Hunsader discusses the previously highlighted concepts of latency arbitrage as a potential progenitor to the May 6 crash, as well as possible ways that the NBBO arbitrage could have provided for unfair and illegal mispricing opportunities for a select few.

Bluemont Capital "On the Marginalizing of the Individual Investor":


Full August 29 interview with Eric Hunsader on Latency Arbitrage
continue reading

Tags: , , , , , , , , ,

Dark Horse Hedge 7/14/10

Dark Horse Hedge 7/14/10

Horses in corral

By Scott Brown of Sabrient and Ilene at PSW

Intel Corp (INTC) set the stage for what could have been a 7th consecutive bullish day for all 3 major indexes, but in the end the S&P closed just below the flat-line for the day, down 0.17 at 1095.2.  There were two apparent reasons the market struggled in the face of such an upbeat report from INTC. The first was that financial stocks slumped all day, finishing down 0.9% as a group.  STI, which we shorted in our last update, was down 2.75%.  JPMorgan (JPM) announces its quarterly report tomorrow morning and that could be contributing to overall weakness in the financial sector.  The second factor holding the market back today was the FOMC meeting minutes in which real GDP for 2010 was downgraded from 3.2-3.7% to 3.0-3.5%.

The S&P 500 is trading right along the 50 day Moving Average.  Our Dark Horse Hedge portfolio is tilted short, 2:1. That is, our positions are weighted 67% short and 33% long, so while DHH is largely hedged, it has a net short exposure.  We would change to a balanced Short/Long ratio, 1:1, if our models supported such a move.  So far, they have not, even though they’re close.   

In determining when a shift in "tilt" is appropriate, we apply a "hysteretic" model.  Hysteresis refers to systems that have memory, where the effects of the current input (or stimulus) to the system are experienced with a certain memory for the previous input and a certain delay in reaction time. Hysteresis is defined as "the phenomenon exhibited by a system in which the reaction of the system to changes is dependent upon its past reactions to change" and as "the lag in response exhibited by a body in reacting to changes in the forces." Using a hysteretic formula, we look for more confirmation of a breakout than just breaking across a Moving Average on a given day. 

Quantitative analysis involves a graduate level economics course to thoroughly explain, but that isn’t necessary for our purposes. The important thing to understand is that we take into consideration the direction of the movement across a Moving Average, and the support from other indicators such as…
continue reading

Tags: , , , , , , , , ,


Phil's Favorites

The existential case for ditching Alexa and other AI


The existential case for ditching Alexa and other AI

Robert Couse-Baker/Flickr, CC BY-SA

Courtesy of Brendan Canavan, University of Huddersfield

Alexa’s creepy laugh is far from the most worrying thing about her. This is despite the fact that Amazon’s digital assistant – which allows users to access the internet and control personal organisation tools simply by speaking to the device – has been reported to spontaneously chuckle to herself. We shouldn’t be too concerned about he...

more from Ilene

Zero Hedge

Trader Shares "A Few Ideas For Avoiding A Friday Faceplant"

Courtesy of ZeroHedge. View original post here.

From Bloomberg macro commentator, Richard Breslow

Don’t mistake this as a trade recommendation, but it is all right to do nothing. Trading when you believe you have an edge is when it is time to step in. If you are there, then go for it. But trading merely because things are moving around is a day-trading concept, not an investment thesis.

It’s important to match trading style, objectives and realistic liquidity assumptions to how you view volatility vs risk. They are very much not the same thing. Made even more so if you think the Fed equity put has been eliminated. It hasn&#...

more from Tyler

Insider Scoop

41 Biggest Movers From Yesterday

Courtesy of Benzinga.

  • Odyssey Marine Exploration, Inc. (NASDAQ: OMEX) shares climbed 118.42 percent to close at $8.30 on Thursday after the company disclosed positive Mexico Court Decision nullifying a previous denial of application for Don Diego project.
  • Omeros Corporation (NASDAQ: OMER) shares gained 35.31 percent to close at $15.75. The maker of a cataract surgery drug called Omidria realized a "big win" from Wednesday's release of the U.S. government spending bill, according to Stat News. Specifically, a policy included in the spending bill includes a pass-through exte... more from Insider

Chart School

Bitcoin Cycles Review

Courtesy of Read the Ticker. uses Bartel's logic to find dominant cycles in a time series.

Cycles are present in markets, as shown below the 22 and 40 day cycles on calendar days looks like the best fit. Therefore the chart below suggest we can expect a bitcoin low either now or in a few weeks.

Bitcoin has not been effected by the SP500/Dow sell off which is a very bullish sign, bitcoin may see safe haven money chasing price very soon, add to this the sister coin, litecoin, isgetting ready for wider use with the massive e-commerce payment market (litepay, litepal, atomic swamps, lightening network).

The bitcoin move is not over!


more from Chart School


U.S. Commerce Secretary Wilbur Ross Speaks With CNBC's "Power Lunch" Today

By VW Staff. Originally published at ValueWalk.

WHEN: Today, Thursday, March 22, 2018

WHERE: CNBC’s “Power Lunch”

Following is the unofficial transcript of a FIRST ON CNBC interview with U.S. Commerce Secretary Wilbur Ross on CNBC’s “Power Lunch” (M-F 1PM – 3PM) today, Thursday, March 22nd. Following are links to video from the interview on

]]> Get The Timeless Reading eBook in PDF

Get the entire 10-part series on Timeless Reading in PDF. Save it to your desktop, read it on your tablet, or email to your colleagues.


more from ValueWalk

Digital Currencies

Why accountants of the future will need to speak blockchain and cryptocurrency if they want your money


Why accountants of the future will need to speak blockchain and cryptocurrency if they want your money


Courtesy of Anwar Halari, The Open University

If you haven’t already heard of Bitcoin, you either haven’t been paying attention or you’re a time traveller who just touched down in 2018. Because by now, most of us will have heard of Bitcoin and some of us have even jumped on the bandwagon, investing in cryptocurrencies.

But despite its popularity, many people still don’t understand the technology that underlines it: blockchain. In...

more from Bitcoin

Members' Corner

Cambridge Analytica and the 2016 Election: What you need to know (updated)


"If you want to fundamentally reshape society, you first have to break it." ~ Christopher Wylie

[Interview: Cambridge Analytica whistleblower: 'We spent $1m harvesting millions of Facebook profiles' – video]

"You’ve probably heard by now that Cambridge Analytica, which is backed by the borderline-psychotic Mercer family and was formerly chaired by Steve Bannon, had a decisive role in manipulating voters on a one-by-one basis – using their own personal data to push them toward voting ...

more from Our Members


How your brain is wired to just say 'yes' to opioids

Reminder: Pharmboy and Ilene are available to chat with Members, comments are found below each post.


How your brain is wired to just say ‘yes’ to opioids

A Philadelphia man, who struggles with opioid addiction, in 2017. AP Photo/Matt Rourke

Courtesy of Paul R. Sanberg, University of South Florida and Samantha Portis, University of South Florida


more from Biotech

Mapping The Market

The tricks propagandists use to beat science

Via Jean-Luc

How propagandist beat science – they did it for the tobacco industry and now it's in favor of the energy companies:

The tricks propagandists use to beat science

The original tobacco strategy involved several lines of attack. One of these was to fund research that supported the industry and then publish only the results that fit the required narrative. “For instance, in 1954 the TIRC distributed a pamphlet entitled ‘A Scientific Perspective on the Cigarette Controversy’ to nearly 200,000 doctors, journalists, and policy-makers, in which they emphasized favorable research and questioned results supporting the contrary view,” say Weatherall and co, who call this approach biased production.

A second approach promoted independent research that happened to support ...

more from M.T.M.


Swing trading portfolio - week of September 11th, 2017

Reminder: OpTrader is available to chat with Members, comments are found below each post.


This post is for all our live virtual trade ideas and daily comments. Please click on "comments" below to follow our live discussion. All of our current  trades are listed in the spreadsheet below, with entry price (1/2 in and All in), and exit prices (1/3 out, 2/3 out, and All out).

We also indicate our stop, which is most of the time the "5 day moving average". All trades, unless indicated, are front-month ATM options. 

Please feel free to participate in the discussion and ask any questions you might have about this virtual portfolio, by clicking on the "comments" link right below.

To learn more about the swing trading virtual portfolio (strategy, performance, FAQ, etc.), please click here ...

more from OpTrader


NewsWare: Watch Today's Webinar!


We have a great guest at today's webinar!

Bill Olsen from NewsWare will be giving us a fun and lively demonstration of the advantages that real-time news provides. NewsWare is a market intelligence tool for news. In today's data driven markets, it is truly beneficial to have a tool that delivers access to the professional sources where you can obtain the facts in real time.

Join our webinar, free, it's open to all. 

Just click here at 1 pm est and join in!

[For more information on NewsWare, click here. For a list of prices: NewsWar...

more from Promotions

Kimble Charting Solutions

Brazil; Waterfall in prices starting? Impact U.S.?

Courtesy of Chris Kimble.

Below looks at the Brazil ETF (EWZ) over the last decade. The rally over the past year has it facing a critical level, from a Power of the Pattern perspective.


EWZ is facing dual resistance at (1), while in a 9-year down trend of lower highs and lower lows. The counter trend rally over the past 17-months has it testing key falling resistance. Did the counter trend reflation rally just end at dual resistance???

If EWZ b...

more from Kimble C.S.

All About Trends

Mid-Day Update

Reminder: Harlan is available to chat with Members, comments are found below each post.

Click here for the full report.

To learn more, sign up for David's free newsletter and receive the free report from All About Trends - "How To Outperform 90% Of Wall Street With Just $500 A Week." Tell David PSW sent you. - Ilene...

more from David

About Phil:

Philip R. Davis is a founder Phil's Stock World, a stock and options trading site that teaches the art of options trading to newcomers and devises advanced strategies for expert traders...

Learn more About Phil >>

As Seen On:

About Ilene:

Ilene is editor and affiliate program coordinator for PSW. She manages the site market shadows, archives, more. Contact Ilene to learn about our affiliate and content sharing programs.

Market Shadows >>