I wouldn’t be surprised if a fully functioning system was built off of fills and only fills. Something that I’ve noticed about them is how great they are at following price.
This is a stat I ran to basically determine how often the under or overfill is the larger/smaller of the HO vs OL. For example, if the H/O delta is in deep over fill, it will be the larger of the two deltas 98% of the time. so on from left to right; HO over, HO under, OL Over, OL under (%’s adjusted to reflect calculation).
Some obvious pros and cons. The better it follows price, the more it behaves the same way price does. Fills do have extreme limits though, and that’s what I think the brilliance in it is.
Now, the current issue is that just because something is underfilled to the extreme, while there ARE probabilities that favor it filling up (when filtered correctly), I do NOT have the ability to compare it to the other end. In other words, If I see HO underfill down to 10%, I can bet that it will fill in more in the next period, but I can’t be certain that it will fill a point where HO is now greater than OL.
Taking the rule of thumb, looking for 60%, preferably 65-70 as a base point.
Looks good until I ran the back stats to show that just because it’s filling >80 or 100%, doesn’t make it bigger than the other side. Aww.