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Completes the programme on both books. Entries are MARKET ORDERS at a bar's
open throughout, so the fill-timing artifact that invalidated the last round is
designed out rather than remembered. Benchmark is analytic: entry, stop and
target fixed at entry means a driftless market gives expR = 0 exactly.
1. SPRING / UPTHRUST (book 1 ch.18, the event 'all Wyckoff operators wait for').
Pierce of a COMPRESSION-QUALIFIED range edge, close back inside, stop beyond
the shakeout extreme, target the far side of the range.
30 cells across 4 symbols x M15/H1/H4. Reward-to-risk averages 4-6:1, so the
break-even win rate is only 15-20%, and it still loses nearly everywhere:
M15 all four symbols -0.15 to -0.24 with 0/4 folds positive. Best cell is
EURUSD H1 climactic-volume +0.302 at t +2.27, which over 30 cells is inside
the family-wise band.
The books' volume requirement was applied - climactic (>1.5x range average)
and quiet (<0.8x) shakeouts scored separately. Neither rescues it.
2. LPS / LPSY, the test-after-breakout, and book 2's A/B (5.7.1, 5.8.3): it
claims the retest should be awaited at the VOLUME PROFILE level, not the
price edge. Same breakout, same stop, same 2R target, only the location
differs:
retest at typical expR
A price edge -0.041 .. -0.315
B value-area edge -0.128 .. -0.413
C range VPOC -0.129 .. -0.506
24/24 cells negative, and A > B > C in ALL EIGHT symbol/timeframe
combinations. That monotone ordering is not noise, and it inverts the book's
recommendation. Mechanism is adverse selection: the VPOC sits deep inside the
old range, so a retest that reaches it is disproportionately a breakout that
has already failed. The deeper the level you wait at, the more your fills are
selected against you.
Practical consequence: the volume profile is real (levels beat distance-matched
placebos at z +3 to +7.8) but using it to LOCATE ENTRIES makes this trade
worse, not better.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
7.7 KiB
7.7 KiB