So I was checking out Mystery's peacocking photo contest and it got me questioning the way some guys peacock. Peacocking serves us by bringing attention on us, sure, but it has to be done right to ensure the right type of attention.
The most effective peacocking represents an adventurous or enviable lifestyle. Personally I don't think women are intrigued by peacocking unless it's conveying something about you. Women are attracted to adventure and mystery, to the unknown. This is what you need to convey.
When I go out I peacock by wearing jeans, belled out that are split on the sides by strips of an american flag. A nice dress-style shirt (sometimes with a political t-shirt over it, somewhat hippy necklaces and bracelets, and sometimes a couple of those silicone "cause" bracelets. These represents me - I'm a radical political activist, with a little bit of a hippy past
Both my last LTR's were attracted to my involvment and subversion of politics and it intrigues most girls I sarge.
Other examples: - when my last LTR, Sarah, a 10 and somewhat preppy, and me split - both myself and her would have said she would never date the type of guy she's dating now. He's a death-rock bassist and it shows. He's peacocking daily and he has that dark, rockstar style. His hair's dyed blood red with spikes, leather arm bands, chains around the neck and black eye liner. Point is, yeah, the peacocking attracted Sarah, but it was the adventurous, myterious, and new lifestyle that she was really attracted to and also what allowed him to pull it off.
The LTR before, also named Sarah (I avoid that name like the plague now) was also a fairly mainstream preppy girl. She went to college and did modeling for a local swimsuit store. What pulled her away? A gutter punk kid named Basil. Basil was tattooed all over with union pacific logos, squatter emblems, etc. He has a facial tribal tattoo across his forehead, patched up pants, butt flap, the works. Again it represented a lifestyle. He trainhopped, lived in the wooded Rainbow Gatherings, etc.(Basil has since become one of my best friends.)
Point - the eccentic fashion of certain lifestyles is the origin of peacocking, thus peacocking must reflect lifestyle. (Ever seen a 14 yr old wearing a Led Zepplin shirt from the Gap, just doesn't ring true

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So my advice - when you peacock, don't dress up like a someone at a pimps 'n hos party. Peacock your lifestyle. Make sure what you wear for attention is congruent with who you are. Personally I think your comfort, confidence and closes will increase.