"The b/a is irrelevant. It tells you nothing."
Not true. It tells you where individual investment sentiment lies. As a large booked buy or sell acts as a basis for other traders to buy/sell off of. It is projected resistance, and can be very strong.
"What I've done is to take the atomic state pair, [(T, P), (dT, dP)] where T is tick, P is price, dT is instantaneous tick change, dP is instantaneous price change, for every trade and then analyze the resulting state in real time by integrating the real time differential equations which characterize the residual flow state."
Why in the world would you limit yourself to only two state pair? Why not include Volume? As you said:"The best thing that can be done is to assess what is being done behind the appearances portrayed by price." Which means if you don't take into account volume, and trades then you are limiting your answers to only those that fit your ideas. And inherently the solutions are none productive, and only reflective at best. And further to that, cross trades have a negative affect on your analysis, since direction can be missleading based on bid or ask cross. No two vector analysis can exist for a dynamic situation where outside influences are the norm.
And since investor sentiment plays a large roll in investing, then basic TA is just as legitiment as state vectors are.
"The atomic state pair leads to the stochastic instantaneous elastic states and their components, marginal demand and supply."
How, based on ticks? Show me. Over what length of domain does the state pair trace back? And does it take into account discrete time. Because in this:" [(T, P), (dT, dP)] where T is tick, P is price, dT is instantaneous tick change, dP is instantaneous price change.." Time is not mentioned. So actions that occur in groups are disseminated forward over the range. If you included 'time' into the state variables, then state what affect it has.
Maybe you need to solve this:
[(T, P, V(X), t), (dT, dP, dV(X), dt)]
V(X): volume based on trade
t: time, as a discrete sub group for V(X)
And then apply an intregarting window over the domain of the solutions. Also analysis of discrete instruments as interests rates, volatility, and most of all commodity trends, must be included. Without an effective interest rate, the valuation of the PE {or growth} which investors consider, would mitigate the equations to that of useless. And sweeping actions would handled in advance. One day of a $2.00 drop/rise in commodity could ramp the tick pasted any holding analysis. The way I see it, you system only handles semi none moving equity. |
