Research & Indicators
Notes on market-microstructure indicators I design and use.
Evening Mean-Reversion — the NQ z-score signal
My core edge: fade rolling z-score dislocations of the midpoint, evenings only, time-based exit. The exact math behind the validated strategy.
VPIN — Volume-Synchronized Probability of Informed Trading
How I think about order-flow toxicity, why bulk-classification matters, and where the metric helps (and where it doesn't).
Microprice — A Better Mid
Why the midpoint underweights resting liquidity, and how a book-imbalanced microprice tracks true equilibrium more honestly.