A question about the actions of Large Players

I have one question. Perhaps it has been answered, and I have missed it. I can miss things under my nose. My search is proving, however, futile. And I'm impatient enough with my progress that I bring the following question directly to the group:

"Is there an assumption in the book, Value in Time, that large institutions must leave a trail of LEV because they purchase or sell securities in relatively-- yet concealed-- concentrations? Is this an axiom of the EV system? Has this assumption been proven empirically or otherwise?"

Please excuse me if I've missed the data or the point in the book or elsewhere.

Many thanks,

Nickola Pazderic

This is a good question because it goes back to the basic principle in the back of the EV method and the LEV/SEV separation (Large/Small players).

The idea is that if a fund wants to buy for 5 Million$ of a $20 company that trades about 1 Million shares per day, the fund cannot obviously do that on the open market in one day. What sorts of possibilities exist?

There are the "dark pools" type of exchanges, which are fund limited.
The fund can also order these shares at an average VWAP price for the next X days. The order will go to the marketmaker who will try whatever possibility to keep the price low while accumulating shares for his customer (the simplest strategy is "stop fishing").
The next possibility is to buy shares on a regular base on the open market, but do it is small enough quantities so as not to push the price up. for example, the fund could buy 5% of the exchanged shares every day for the next 20 days or 10% for the next 10 days. That sort of volume will leave traces, because it pushes the Demand/Supply always in the same direction and the probability that you will see price upticks on large volume is higher than seeing price downticks on large volume. Therefore, by sorting the up/down ticks by volume size, if the majority of the large volume traded is responsible for upticks or downticks, then we can conclude that there was a "will" to buy/sell some large volume.

What we do not know is the reason for such a decision or the culprit. It might be 500 individuals who made exactly the same analysis and who bought each for $10,000 of shares (very unprobable) or more probably one ior two fund managers who bought a big chunk.

So, to come back to your question, the book's assumption is not that large players have left a trace. The assumption is that there is a trace of accumulation/distribution and when that trace is "strong enough" and occurs at critical period in the price trend (during a trading range, on a pull-back, in a support/resistance area), then most often than not, this gives the direction of the future price move. It is a statistical analysis, not a "sure pattern".


Pascal

Pascal--

Yes, I very much understand the methodology, which Dr. Elder has called revolutionary. And this methodology is based on the logic presented above.

Reading the book, I must confess to the biases of anthropology: in every instance we're professionally curious about what people think and do. If the book had come to me for review prior to its publication, I would have asked the editor to prod the author to offer some quotes, examples, and references to substantiate the logic of the project.

The book was never sent to me, of course. When it was published I was still teaching qualitative research methods and courses on neoliberalism. In short, I was teaching students to track down the effects of the global economy on the everyday lives of people and Taiwanese, in particular. The market was known only to me in a very abstract way. In fact, a brilliant graduate student introduced me to the stock market as something where people like her were involved. My first question to her: "What's that for?" To which she replied "To make money."

So now you know how slow I am!

Many thanks,

Nickola Pazderic

Pascal,

Thank you for the detailed answer to Nickola's question. I have similar questions but not having a strong trading background don't have as good an idea of where to start.

I would certainly agree that "smart" players would carefully hide their transactions. Perhaps my primary question about EV methodology is why the large players (who we assume have all means at their disposal to hide their intentions) would cause a large change in price from minute to minute (compared to the high-low difference during that minute), which is what LEV/SEV separation is based on. Wouldn't they want to structure their transactions to produce a small price change at a high volume?

I think I am asking why you chose the Williams method as the basis for EV, as opposed to, for example, an OBV of some form, or even something like looking for the smallest price change at high volume as potential evidence for "big smart" transactions. Is there prior work that shows some basis for this model? I would certainly be interested in learning about the issues. Did you try other methods of detecting EV before writing your book?

Anyway, it may very well be that the details of the low level calculations are not as important as the averaging effect of 1000+ stocks.

The comment below from the previous posting by a community member:

Perhaps my primary question about EV methodology is why the large players (who we assume have all means at their disposal to hide their intentions) would cause a large change in price from minute to minute (compared to the high-low difference during that minute), which is what LEV/SEV separation is based on.

Is this an accurate portrayal of the methodology? I thought EV calculates effective volume based on as small as a penny a share change from one minute to the next.

[I]Is this an accurate portrayal of the methodology? I thought EV calculates effective volume based on as small as a penny a share change from one minute to the next.[/I]

Adam, you are right. I didn't give the complete picture: EV is the change in minute to minute price, divided by the difference between high and low during that minute (which can be modified by the previous minute's close if higher or lower), times the volume during that minute.

Maybe a more specific example would help.

In one minute a share price changes from 20.00 to 20.01 with high of 20.10 and low of 19.95, and volume of 100,000 shares. The EV for that minute is:

EV1 = (20.01 - 20.00 + 0.01) / (20.10 - 19.95 + 0.01) * 100,000 = 0.02 / 0.16 * 100,000 = 12,500

If we have a smaller volume minute but with a larger change in price we may end up with a higher EV. Let's say the price changed from 19.98 to 20.09 but at only 1/5 the volume of the previous example (and high and low the same). EV then would be:

EV2 = (20.09 - 19.98 + 0.01) / (20.10 - 19.95 + 0.01) * 20,000 = 0.12 / 0.16 * 20,000 = 15,000

Which of these two examples would we think is more likely to be "stealth" accumulation? That is my question.

(BTW, I don't know nor am implying I know the answer. I'd just like to be able to learn from what others may have done in this regard.)

-Mike

Pascal,

This is a think-piece question, not urgent or even all that important for any trades or on-going business, but a speculation based on this thread, that I've been pondering while watching the tape, and starting to gather some data for:

The effective volume is volume which moves price within a minute. The move may be as small as $0.01, or even smaller. I recall that the size of the intra-minute price change is not addressed in the calculations - and that's the way I'm doing it. A move of $.25 has the same weight as a move of $0.0075. In both cases, the volume moved the price, so it counts as effective volume.

Now, I've studied the book's false-positive cases, and I've had a couple of those myself. MFB was one I posted at the old forum - it took over a quarter to escape from that one. But more interesting (to me, anyway) are the price pops which come out of a clear blue sky, with no warning, no LEV, no SEV, no nothing visible. Which led me to wonder - the book is over 3 years old. It's taught in some business schools, and I recall you even directly address fund managers about how to conceal their movements in one of the later chapters. What if they listened? After all, the structural problems of large fund accumulation have not changed.

So I've been trying to postulate how to create a notional algorithm specifically designed to conceal effective volume as ineffective.

1. Starting with the prior day's tape, and the current day's evolution, I would calculate the equi-power volume level. That variable would be re-set as needed, perhaps even multiple times per day. That level becomes my per-trade volume ceiling. Never trade more than that in a single minute.

2. For each trade, I would set the lot size to be ([variable 1.] - [a randomized percentage of the current offer])

3. Within the algo there would have to be a countdown clock which resets to 59 seconds each minute, starting on the first second of the open. Trades would start at some second above 0, based on how many shares to target that day, divided by the 390 trading minutes, then played out against the actual liquidity, but always leveled so as to have the greatest chance of spanning a price level accumulation across the minute boundary. For example:

If this were the snapshot at +3 seconds...

Bid Shares| Shares Ask
20.00 1000 900 20.01
20.00 200 200 20.01
20.00 100 2000 20.01
19.99 500 1600 20.02

... the algo would buy 800 @ +2 seconds, then 100 @ + 1 seconds, then 2100 at +59 seconds of the [I]next minute[/I]. Presuming, of course, the offers stayed stable. This would be happening at hyper speed, so the algo would be dynamically sensitive to such changes, polling the book several hundred times per second. In each trade burst, a portion of the offered lot would be left for someone else to clean up, so as to extend the odds of leaving a price level "tail" across the minute boundary.

As long as price levels are traded across the minute boundary, and with the equi-power boundary governing lot size, this algo's activity becomes invisible to the EV formula, and its volume becomes ineffective volume.

As a pseudo-Excel formula, isn't it true that Ineffective volume could be identified by reversing the volume detection formula from:

=IF(price now= price previous, [B][U]0[/U][/B],(((ABS(price previous-price now)+ABS(price now-price previous)) / (high now-low now+ABS(close now-close previous))) * volume now) * IF(close now-close previous>0,1,-1) )

into:

=IF(price now= price previous, (((ABS(price previous-price now)+ABS(price now-price previous)) / (high now-low now+ABS(close now-close previous))) * volume now) * IF(close now-close previous>0,1,-1),[B][U]0[/U][/B] )
?

Or, more simply, reverse the true and false actions; make the "true part" of the formula the volume calculation, and make the "false part" of the formula zero - the result, I think, will return the ineffective volume?

The goal of such a survey would be to sample a set of high-volume stocks with flat or declining LEV, and look for a steadily rising large ineffective volume flow compared to a prior look-at period, and see if that is similarly associated to later price moves, as with effective volume. Or, stated as a motive - the purpose is to try to detect whether anyone has specifically attempted to cloak themselves from the EV detector.

It is no great effort - I do EVs by the dozen most days anyway. But has anyone thought about something like this, for the vast majority of stocks which lack strong LEV most of time whose prices pop with no warning?

Ellis, fascinating idea. Charlie Munger frequently echos 19th century mathematician Carl Jacobi as saying when you are faced with a difficult problem, "Invert, always invert."

Along similar lines, there may be another way (I think) to determine the robustness of the EV algorithm: to calculate EV based on different sample intervals (30 seconds, 10 seconds, ...), or even just by shifting the minute window by a fraction of a minute. If EV is reasonably robust, and if the large players are not hiding their activity from those looking at minute boundaries, then the results of EV calculations over different time periods should be more or less consistent with each other, at least when accumulated over a full day or more.

I've done some analysis (very, very limited at present) of collecting historical one-second data for a few stocks, aggregating the one-second data into various combinations of EV intervals as described above, then calculating LEV/SEV on those modified intervals. I do see some differences that, to me at least, look different enough that the system might give different signals. Keep in mind I've only done this with a small number of securities and it is quite possible that the averaging effect Pascal does over 1000+ securities may well smooth these differences out and wind up with roughly the same signals. IOW, these per-stock differences may not be meaningful in the full context of the EV method. That would be much harder to test.

-Mike

Mike,

I would have to agree with you. With the TradeStation plugin, different time scales other than 1 min bars certainly do give different signals / presentations than the 1 min presentation. I've been digging deeply into the TS plugin to determine if this is a coding issue or if this is actually what is occurring; my preliminary findings are simply that the TS plugin is set up to perform the calculations on the bar, and it is implied that the resolution is 1 minute. If other bar lengths are used, the TS plugin does not know the difference.

[ For those of you more skilled with EasyLanguage, please chip in here]

I'm not convinced that we should see consistency from 1 min to 5 min to 60 min bars. There are exceptions to this thought, of course, but in the general patterns that I'm able to watch at 1 minute resolution, many of them would become moot because the extension values, average above / below extensions, etc., would all change, and possibly not in synchronization.

I *do* believe that multi-timeframe analysis on EV is incredibly important, but this means specifically "where we are zeroing the accumulator". The book uses the 40d length; I use 40d as well as 8d windows, simultaneously, in TradeStation, to get a longer-term view of LEV/TEV support over SmEV performance, as well as a shorter-term view.

I'm constantly reminded, as I use the TradeStation EV plugin, that what we may be seeing may not be the actual behavior of the system, but until I (or others) can improve upon the examination tools, it's far better than anything that the masses have.

We have insight here that most, even the larger investors, do not have. I consider myself lucky.

Regards,

pgd

I woke up this Sunday morning, thinking to do some more back-tests while the rest of the family is still sleeping, and I find myself in a deep overnight discussion about the EV method. So, let me jump in here...

There are four elements in this EV formula:
- The minute time interval
- The price inflection (the price change from one minute to the next)
- The Adapted Larry Williams' formula using the true range
- The Large/Small players separation method

I believe that the "One Minute" time interval is a critical aspect of the method. Not the fact that the period is one minute, but that the analysis is made at exact and regularly identical time intervals. I would have preferred to have 15 seconds time intervals, but do not have the tools to do that yet.

What the EV method does is to look at "one minute price samples" and is there was a price change (of one cent or 10 cents, that is not important), to start digging out the reason why the price changed.

It is the fixed size period of time that allows us to be sure that each sample represents the same "time" opportunity for market players to move the price. I believe that shorter time periods such as 15 or even 5 seconds would give better, more accurate results.

What happened during this one specific minute, why did for example the price move up by one cent?

- You could have had some equilibrium trading during that minute and then at the final second, by chance one retail investor would buy 100 shares at market and would push the price higher... Or as suggested in this tread, that some algo would have been specifically programmed to fool the EV formula.
- In general, what happens during one trading minute is that you have algo buyers and algo sellers that sample the available liquidity and push their orders by making sure that they do not move the price in their own direction until they have accumulated/sold all their shares. So we have a very well balanced market during each trading minute. (Of course, if there is big news or if a fund has accumulated enough and wants to push the price higher, then imbalance is intentionally generated as a new trend starts.) What EV tries to measure is the small imbalance that is responsible for the price change. EV will take each minute a sample of these "imbalances" (or Effective Volume)
and will then separate them into Large or Small size.
- Something else could happen during one minute: it is the very large sitting bulk of shares either at the Bid or at the Ask. In theory, you could have one fund putting 1 million shares for sale at a specific price (either visibly or invisibly) and you would have "large" buyers coming in every minute, pushing the price higher by one cent until it reaches the offering price for the big lot, printing a "large active Buyer" on the EV sampling. One small seller would then push the price back down, and the same is repeated until the big chunk is all gone and the price is thus free to move higher. This is of course just theory, because those who have such large chunk of shares to trade also own the right tools to do it without having to push large orders at once.

To make it short, the LEV/SEV method tries to catch the change in market equilibrium.

The actual method could be improved by shortening the analysis time interval and by using tick data instead of the Larry Williams formula to count shares within one time interval.

Many people think that EV shows strength. It is not true. EV shows a change in equilibrium. This indicator is valid only when the price itself it in an equilibrium.

For example:
- If the price makes a double top but the EV pattern makes a lower high, then you can conclude that buyers are exhausted.
- If the price is pulling back to a 50MA support line but EV is hardly decreasing, it means that long term large holders are keeping their position and thus that the uptrend will probably renew later on.
- Leading stocks will often see large players sell while the price reaches a new high. This is just normal and you cannot conclude that the price will move back down.


Pascal

[QUOTE=Ellis Wyatt;12768]Pascal,

This is a think-piece question, not urgent or even all that important for any trades or on-going business, but a speculation based on this thread, that I've been pondering while watching the tape, and starting to gather some data for:

The effective volume is volume which moves price within a minute. The move may be as small as $0.01, or even smaller. I recall that the size of the intra-minute price change is not addressed in the calculations - and that's the way I'm doing it. A move of $.25 has the same weight as a move of $0.0075. In both cases, the volume moved the price, so it counts as effective volume.

Now, I've studied the book's false-positive cases, and I've had a couple of those myself. MFB was one I posted at the old forum - it took over a quarter to escape from that one. But more interesting (to me, anyway) are the price pops which come out of a clear blue sky, with no warning, no LEV, no SEV, no nothing visible. Which led me to wonder - the book is over 3 years old. It's taught in some business schools, and I recall you even directly address fund managers about how to conceal their movements in one of the later chapters. What if they listened? After all, the structural problems of large fund accumulation have not changed.

So I've been trying to postulate how to create a notional algorithm specifically designed to conceal effective volume as ineffective.

1. Starting with the prior day's tape, and the current day's evolution, I would calculate the equi-power volume level. That variable would be re-set as needed, perhaps even multiple times per day. That level becomes my per-trade volume ceiling. Never trade more than that in a single minute.

2. For each trade, I would set the lot size to be ([variable 1.] - [a randomized percentage of the current offer])

3. Within the algo there would have to be a countdown clock which resets to 59 seconds each minute, starting on the first second of the open. Trades would start at some second above 0, based on how many shares to target that day, divided by the 390 trading minutes, then played out against the actual liquidity, but always leveled so as to have the greatest chance of spanning a price level accumulation across the minute boundary. For example:

If this were the snapshot at +3 seconds...

Bid Shares| Shares Ask
20.00 1000 900 20.01
20.00 200 200 20.01
20.00 100 2000 20.01
19.99 500 1600 20.02

... the algo would buy 800 @ +2 seconds, then 100 @ + 1 seconds, then 2100 at +59 seconds of the [I]next minute[/I]. Presuming, of course, the offers stayed stable. This would be happening at hyper speed, so the algo would be dynamically sensitive to such changes, polling the book several hundred times per second. In each trade burst, a portion of the offered lot would be left for someone else to clean up, so as to extend the odds of leaving a price level "tail" across the minute boundary.

As long as price levels are traded across the minute boundary, and with the equi-power boundary governing lot size, this algo's activity becomes invisible to the EV formula, and its volume becomes ineffective volume.

As a pseudo-Excel formula, isn't it true that Ineffective volume could be identified by reversing the volume detection formula from:

=IF(price now= price previous, [B][U]0[/U][/B],(((ABS(price previous-price now)+ABS(price now-price previous)) / (high now-low now+ABS(close now-close previous))) * volume now) * IF(close now-close previous>0,1,-1) )

into:

=IF(price now= price previous, (((ABS(price previous-price now)+ABS(price now-price previous)) / (high now-low now+ABS(close now-close previous))) * volume now) * IF(close now-close previous>0,1,-1),[B][U]0[/U][/B] )
?

Or, more simply, reverse the true and false actions; make the "true part" of the formula the volume calculation, and make the "false part" of the formula zero - the result, I think, will return the ineffective volume?

The goal of such a survey would be to sample a set of high-volume stocks with flat or declining LEV, and look for a steadily rising large ineffective volume flow compared to a prior look-at period, and see if that is similarly associated to later price moves, as with effective volume. Or, stated as a motive - the purpose is to try to detect whether anyone has specifically attempted to cloak themselves from the EV detector.

It is no great effort - I do EVs by the dozen most days anyway. But has anyone thought about something like this, for the vast majority of stocks which lack strong LEV most of time whose prices pop with no warning?[/QUOTE]

This could be a great research work Ellis. Do you intend to perform it?
I for sure do not have the tools right now to do that.

Pascal

[QUOTE=mklein9;12765]Pascal,

Thank you for the detailed answer to Nickola's question. I have similar questions but not having a strong trading background don't have as good an idea of where to start.

I would certainly agree that "smart" players would carefully hide their transactions. Perhaps my primary question about EV methodology is why the large players (who we assume have all means at their disposal to hide their intentions) would cause a large change in price from minute to minute (compared to the high-low difference during that minute), which is what LEV/SEV separation is based on. Wouldn't they want to structure their transactions to produce a small price change at a high volume?

I think I am asking why you chose the Williams method as the basis for EV, as opposed to, for example, an OBV of some form, or even something like looking for the smallest price change at high volume as potential evidence for "big smart" transactions. Is there prior work that shows some basis for this model? I would certainly be interested in learning about the issues. Did you try other methods of detecting EV before writing your book?

Anyway, it may very well be that the details of the low level calculations are not as important as the averaging effect of 1000+ stocks.[/QUOTE]

The selection of the Larry Williams' adapted method is what looked best as I did not have access to tick data at that time. What I however did was to use as effective volume the total volume traded during one minute, as far as the minute was showing a price inflection. This method (OBV) was also good at shwoing accumulation/distribution. Larry Williams seemed to be more precise though. Today, I'd use tick data for sure instead of LW.



Pascal

[QUOTE=Pascal;12771]
The actual method could be improved by shortening the analysis time interval and by using tick data instead of the Larry Williams formula to count shares within one time interval.[/QUOTE]

I think this is the key in the next evolution of EV.

Ellis' comments notwithstanding, I've noticed many trades which are large-block trades do not budge the TEV lines, or do so disproportionately. We certainly could argue (successfully) that over that 1 minute period that the equilibrium of the buyers and sellers did not change, but when I step back and look at a large block transacting, *something* is going on with the stock, yet TEV will not reflect the massive buying or selling. As an example of this I provide GRT's action on Friday:

[ATTACH=CONFIG]8522[/ATTACH]

Here, we see that over 3M shares transacted in a single minute, yet LEV/TEV did not budge. Due to scaling you cannot see the volume action after this -- there were numerous smaller blocks transacting (2K-10K size), which moved LEV/TEV around. Certainly, the 3M transaction did not upset the equilibrium, but when I step back and look at the stock as a whole, the 3M represents a $30M transaction by *somebody*, and I would want to know which way this moving (a buy or a sell).

Another example is when a large purchase barely moves TEV, but smaller volume moves TEV a considerable amount. As an example of this is COMV on 5/23:

[ATTACH=CONFIG]8521[/ATTACH]

Here, we see that early in the trading day, a considerable amount of a volume transaction occurs (bottom trace, red), and LEV (blue) and TEV (yellow) (middle traces) are barely moving. Later in the day, we have significant movement in LEV and TEV, yet the relative volume levels are much lower.

I think that in both these examples that volume vs. TICK information would be more indicative of the bigger picture for the stock, not just the equilibrium change.

My three cents (inflation) ....

pgd

Paul,


There is a large block filtration algo inside of the method. It is not explained in the VIT book, but since a large block that does not impact the price is probably an "arranged" trade (for example between the MM and his customer), you want to filter this out, otherwise this sort of transaction "pollutes" the EV pattern. The filtration algo is to filter out the minutes whose traded volume is higher than 5% of the daily volume, but which does not impact the price by more than 1%.

Thanks Pascal. I need to ponder this .... :o)

I find it interesting (but not really surprising) that the EV method discussion gets directed towards tick-based volume analysis. Linnsoft's Investor/RT tool includes "Volume Breakdown" and "Cumulative Delta" capabilities for several years (and instructional videos on their site: [url]http://www.linnsoft.com/vb[/url]) as well as courses offered by Fulcrum Trader ([url]http://www.fulcrumtrader.com[/url], previously active on EliteTrader.com under AMT4SWA nickname). I had some hands-on experience with system testing using VB principles in 2009 but the statistical edge using a single instrument turned out to be too slim to be of practical use for retail trading.

The VB analysis is reportedly most relevant to instruments that trade 24x7 and capture all traded volume (e.g. ES futures contract on Globex). Maybe this is where discrepancies in EV measurements produce less-than-ideal examples on a stock-by-stock basis. My own hunch (tho not proven) is that EV analysis shines due to the law of large numbers when statistics is aggregated across a large number of stocks over a period of days/weeks. In other words, if you look under a microscope, you're bound to find plenty of errors, but taken together, you get a much better signal/noise indicator.

Availability of tick-data history (unless you're a GS) is rather limited and would require considerable storage and data management efforts to carry out, compared with processing 1-min data. Saying it, if the EV method accuracy warrants it and can be translated into a non-trivial boost to EV robot performance, such effort would be quite worthwhile IMHO.

-TraderD

FWIW, here is a company that provides historical tick data for equities, futures, options and so on...

[url]http://www.tickdata.com/[/url]

[QUOTE=Pascal;12772]This could be a great research work Ellis. Do you intend to perform it?
I for sure do not have the tools right now to do that.

Pascal[/QUOTE]

I don't have tools of the quality the robot, or the ability to backtest multiple years, or the discipline to do this at the level which would satisfy most members to risk their own money on the results; having said that, I have the tools to produce my own active boundary and EV flow charts in Excel, at the one-minute resolution, and I'm pretty sure the results match those given by the methods described in the book. I also concur, and I think many members have had the thought, that the tick is the final destination, though retaining that much data for enough symbols to be meaningful is beyond my current capacity.

Initially, what I am doing is just taking a given stock's EV spreadsheet, copying it, inverting the logic of the EV detection formula by copying it down the OHLCV columns, and observing the results. So far I don't have enough data to risk any observations, but when I do, I'll post them up. The reason I'm willing to try this at all is that everyone's computer trading systems, as a feature, are based on clocks network-synchronized to the second world-wide, which means that everyone's one-minute charts are very likely looking at the exact same single minutes. It's that technological presumption that makes the idea of a cross-minute algo hiding in plain sight seem so devilishly clever - no one in their right mind would intentionally skew their own trading clock, and only institutions have the horsepower and staff to chart, store, and analyze tick data on samples and timelines large enough to trust. And as many already know, day traders and longer-hold investors generally prefer [I]longer[/I] timeframes than one minute, rather than shorter.

I've been out of the cubicle world for quite a while, but if I were going to try to conceal large accumulation or distribution from EV detectors, that's how I'd do it, because its so relatively cheap and easy and based on a presumption that no one thinks to mess with.

Pascal,

The current equities range obviously has us independent amateurs confused. I'm wondering if you have ever given any thought to intervals in which the large players act similarly confused? The below image reminded me of the book's IMAX example:

[ATTACH]8592[/ATTACH]

[I]FITB is a regional US bank, not special in any particular way. They paid back the TARP, but nothing material has changed since the last earnings, which missed @ $0.10 v. expected $0.26 and lower revenues, on April 21.
[/I]

The IMAX example was a case of false-positive, where value investors rush in, turn out to have mis-timed, and are then followed by bottom feeders (who may also turn out to be early). Have you, or anyone, seen this double-clutch pattern before in a case where there is no news of significance?

(I'm not buying, nor do I hold this name. But I've seen a couple of these double head-bumps lately, and they seem new. Unless it's just that I'm relatively new with EV and haven't seen enough permutations yet.)

[QUOTE=Ellis Wyatt;12956]Pascal,

The current equities range obviously has us independent amateurs confused. I'm wondering if you have ever given any thought to intervals in which the large players act similarly confused? The below image reminded me of the book's IMAX example:

[ATTACH]8592[/ATTACH]

[I]FITB is a regional US bank, not special in any particular way. They paid back the TARP, but nothing material has changed since the last earnings, which missed @ $0.10 v. expected $0.26 and lower revenues, on April 21.
[/I]

The IMAX example was a case of false-positive, where value investors rush in, turn out to have mis-timed, and are then followed by bottom feeders (who may also turn out to be early). Have you, or anyone, seen this double-clutch pattern before in a case where there is no news of significance?

(I'm not buying, nor do I hold this name. But I've seen a couple of these double head-bumps lately, and they seem new. Unless it's just that I'm relatively new with EV and haven't seen enough permutations yet.)[/QUOTE]

This is a good question for which there is no good answer.
Statistically, if you buy in the direction of an increasing 3D EV and sell X-days later, the returns are lower than a Buy/Hold strategy. This means that EV has no predictive value when taken independently. (That observation was published in the VIT book). What is important is to use EV at the right timing: where the market/sector or stock hesitates, such as in a trading range or at a support/resistance level, or at an Active Boundaries limit.

FITB is really heavily traded. So we might have some funds buying and other funds selling, which means "no clear view" from large players.