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.