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NotesTesting whether an edge is real

Negative results are results

A dead hypothesis still leaves the measuring tool behind, and the tool often finds the real result.

What I was looking for

Evidence that market makers pull depth from the book just before quotes move.

What I found

I built an order-flow study to find depth withdrawal before quote moves. Withdrawal before a move was +6.4% ± 6.6, against +5.0% ± 1.4 with no move: nothing. The hypothesis died.

The instrumentation built to test it produced the actual finding, a map of where makers get picked off. The value came from the measurement apparatus, not the hypothesis.

The move

I build the measurement to outlive the hypothesis, and I publish when the hypothesis dies.