S&P 500 IndexEducation
Wave Auction Theory & WHY it works
Sup, this is the 30th & the last post that concludes all the previous ones, and finally reveals the name how I've called all this - wave auction theory. Well, me as a creator of all this (or more like a mixer, a DJ lol) I think about it more as a theorem, but that's for nerds and geeks to work it out, me I just wanna flexx.
If you take a look at all existing market theories their main thing is they all attempt to divide market activity into parts. Patterns, El waves, Wyckoff market states, then what Steidlmayer created (I call it Interval Auction Theory, since he divided market activity in parts by days, weeks, months etc). The main problem with is all these concepts (maybe except the last one) dem are not well defined, and they apply on the fractal market something that the highest resolution of this fractal (raw tick chart) doesn't have.
Wave auction theory ain't superimposing any exogenous structures on the market, such as "crowd behaviors", nah, it doesn't guess and predicts anything, it derives the principles and structures from the sequences of fundamental particles of the market - ticks, and it can be used fully on this fundamental resolution. This is the most fundamental principle how you can divide market activity without any subjectivity: waves and levels. Btw, indirectly, we also gain the interval size information by choosing the right resolutions, while interval auction theory disregards sequence of events (read my post about market & volume profiles).
Why it all works
It's a lil bit recursive kind of thing, you need to read all the statements below multiple times in different order, then your brain will start making the whole picture out of it, and finally things will come together, you'll feel that "snap" in your head. It's the best I can do.
* Market is fractal => all the principles propagate through all the resolutions;
* Market is a feedback loop, market is ALL of us together, that famous "composite operator" that Wyckoff tried to explain to people around him, that composite operator is All of us - the collective;
* Each individual entity in the collective has different voting power = better you operate = better the market = more revenues & capital you have = more voting power you have;
* We all have all the same data => we can gain as much information as there is in the data;
* Data on every resolution has information where it is, it was, or it will be cheap or expensive, every1 gains it with different degree of precision, but essentially every1 gains the same info because it's the same market & same data;
* The only thing that works all the time in all the cases is being an operator (a market maker) aka you buy cheap and sell expensive;
* Market making happens on all the resolutions, be it 1 minute or 1 week chart, on the former it might be one dude with 100 shares, on 1W it might be 100k dudes with 100 shares, the collective is always there, even on yearly charts;
* More data & information you have, the more question of "what's going to happen in the future" transforms into the question of "what IS happening NOW";
* market works on the principle I call "GTC Naive" (good till cancel Naive forecast), meaning that "the stuff's gonna continue the same way UNTIL there's an event/evidence that'll change it";
We all make the future, how can we not know what we're making ourselves if we have the info and exogenous factors are not numerous and secondary at best, and the system itself is quazi-closed? Still gonna try to analyze log returns? xD
Everything is already decided, we've decided all of that ourselves having the same data & same info xdddd
All the prophecies are self fulfilling prophecies by definition lmao, they are consequences of sequences of choices made by every1 through all the timeline. While loosing precision we gain generality => are able to understand what IS happening NOW. Not even contra intuitive aye?
The good side point of all this is that now you can rewatch Matrix movies (all of dem) and finally understand the dialogs between Neo and The Oracle (the parts her telling him the choice is already made).
Coming back to the theme, I share all this because I think that markets are sadly unhealthy, there's ENORMOUS room for liquidity provision for centuries to come on Ks of assets. Better we gonna operate, more clients = more volume will come to the markets => better for all of us.
The last several things I wanna share:
1) You can approach designing an automated agent (a bot) by following principle, smth I call "sMATEs framework";
- s: selection of assets that will end up in your masterlist;
- M: management - choosing between the most potent timeframes & assets within the assets in masterlist;
- A: analytics, seeing what's happening on your chosen data, choosing the signal generation method aka strategy accordingly;
- T: trading, generation the actual signals based on the strategy chosen before;
- E: execution, processing & fine tuning the actual executions based on the signals;
-s: sizing: choosing the quantities based on equity control and what the market can give.
The two small Ss are the only levels where you need to use ML. Reinforced learning for sizing based on order book & equity chart of a given agent. Then you can use ML & AI to form the masterlist, based on what you want. Generally you're interested in action or as I say in MEAT (ain't no vegan bruh sorry).
2) Each market has its own main cycle set: set of properly chosen optimal resolutions & time frames & rolling window lengths (no, there's nothing to optimize there & no need in dynamic lengths). I think you can figure it out reading all the posts & studies I've posted lately.
I can give a hint: if you want to divide smth, you always try to divide it by 5 first. If you can't by 5, then by 4. If you can't by 4, then by 6. If you can't by 6, then by 3. If you even can't by 3, then by 7. And omg if you can't by 7, then in theory it's by 2, but not on our planet with our modern time system. Look at the 2 centuries of S&P chart in this post and see what I see.
3) If you a coward, or an overconfident prick, or a cheater, or a lier, or a snitch, you wont't succeed. You'll succeed if you're real & legit, in this case it's only a matter of time.
From there it seems like my path goes somewhere else, but this is the way, all good TV, was fun.
Remember, there's no noise, only the truth
If you take a look at all existing market theories their main thing is they all attempt to divide market activity into parts. Patterns, El waves, Wyckoff market states, then what Steidlmayer created (I call it Interval Auction Theory, since he divided market activity in parts by days, weeks, months etc). The main problem with is all these concepts (maybe except the last one) dem are not well defined, and they apply on the fractal market something that the highest resolution of this fractal (raw tick chart) doesn't have.
Wave auction theory ain't superimposing any exogenous structures on the market, such as "crowd behaviors", nah, it doesn't guess and predicts anything, it derives the principles and structures from the sequences of fundamental particles of the market - ticks, and it can be used fully on this fundamental resolution. This is the most fundamental principle how you can divide market activity without any subjectivity: waves and levels. Btw, indirectly, we also gain the interval size information by choosing the right resolutions, while interval auction theory disregards sequence of events (read my post about market & volume profiles).
Why it all works
It's a lil bit recursive kind of thing, you need to read all the statements below multiple times in different order, then your brain will start making the whole picture out of it, and finally things will come together, you'll feel that "snap" in your head. It's the best I can do.
* Market is fractal => all the principles propagate through all the resolutions;
* Market is a feedback loop, market is ALL of us together, that famous "composite operator" that Wyckoff tried to explain to people around him, that composite operator is All of us - the collective;
* Each individual entity in the collective has different voting power = better you operate = better the market = more revenues & capital you have = more voting power you have;
* We all have all the same data => we can gain as much information as there is in the data;
* Data on every resolution has information where it is, it was, or it will be cheap or expensive, every1 gains it with different degree of precision, but essentially every1 gains the same info because it's the same market & same data;
* The only thing that works all the time in all the cases is being an operator (a market maker) aka you buy cheap and sell expensive;
* Market making happens on all the resolutions, be it 1 minute or 1 week chart, on the former it might be one dude with 100 shares, on 1W it might be 100k dudes with 100 shares, the collective is always there, even on yearly charts;
* More data & information you have, the more question of "what's going to happen in the future" transforms into the question of "what IS happening NOW";
* market works on the principle I call "GTC Naive" (good till cancel Naive forecast), meaning that "the stuff's gonna continue the same way UNTIL there's an event/evidence that'll change it";
We all make the future, how can we not know what we're making ourselves if we have the info and exogenous factors are not numerous and secondary at best, and the system itself is quazi-closed? Still gonna try to analyze log returns? xD
Everything is already decided, we've decided all of that ourselves having the same data & same info xdddd
All the prophecies are self fulfilling prophecies by definition lmao, they are consequences of sequences of choices made by every1 through all the timeline. While loosing precision we gain generality => are able to understand what IS happening NOW. Not even contra intuitive aye?
The good side point of all this is that now you can rewatch Matrix movies (all of dem) and finally understand the dialogs between Neo and The Oracle (the parts her telling him the choice is already made).
Coming back to the theme, I share all this because I think that markets are sadly unhealthy, there's ENORMOUS room for liquidity provision for centuries to come on Ks of assets. Better we gonna operate, more clients = more volume will come to the markets => better for all of us.
The last several things I wanna share:
1) You can approach designing an automated agent (a bot) by following principle, smth I call "sMATEs framework";
- s: selection of assets that will end up in your masterlist;
- M: management - choosing between the most potent timeframes & assets within the assets in masterlist;
- A: analytics, seeing what's happening on your chosen data, choosing the signal generation method aka strategy accordingly;
- T: trading, generation the actual signals based on the strategy chosen before;
- E: execution, processing & fine tuning the actual executions based on the signals;
-s: sizing: choosing the quantities based on equity control and what the market can give.
The two small Ss are the only levels where you need to use ML. Reinforced learning for sizing based on order book & equity chart of a given agent. Then you can use ML & AI to form the masterlist, based on what you want. Generally you're interested in action or as I say in MEAT (ain't no vegan bruh sorry).
2) Each market has its own main cycle set: set of properly chosen optimal resolutions & time frames & rolling window lengths (no, there's nothing to optimize there & no need in dynamic lengths). I think you can figure it out reading all the posts & studies I've posted lately.
I can give a hint: if you want to divide smth, you always try to divide it by 5 first. If you can't by 5, then by 4. If you can't by 4, then by 6. If you can't by 6, then by 3. If you even can't by 3, then by 7. And omg if you can't by 7, then in theory it's by 2, but not on our planet with our modern time system. Look at the 2 centuries of S&P chart in this post and see what I see.
3) If you a coward, or an overconfident prick, or a cheater, or a lier, or a snitch, you wont't succeed. You'll succeed if you're real & legit, in this case it's only a matter of time.
From there it seems like my path goes somewhere else, but this is the way, all good TV, was fun.
Remember, there's no noise, only the truth
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