After several months of analysing market microstructure data, I have gotten to the point where I have discovered *3* extremely non-trivial and non-intuitive features about the market.

Like pants on head retarded levels of non-trivial. Things that make no sense at all. For example, under certain conditions, multiple times a day, heavily weighted buy-side order flow actually results in statistically significant decreases in price rather than increases. How can this be? All intuition says that this should not be possible, and yet it is.

Should I trade signals that I don't understand? Any quants here that have run into something similar?