I've got daily historical data, I wonder if I should split the gap data out too since it can be significant. I've normalized it to percentage...
Expected value. Sum of the weighted outcomes. For example 500 * .99 - 13000 * .01
Just as example I did ES spot about 3900, sell put at 3635 buy protective put at 3500 with 19 dte. IB profile shows 99% for max profit about 500,...
I have run more calculations and the maximum leverage which the Reg T math allows is 1.5x no matter how many wait cycles are performed. For...
Yes - it's 50% on the first day and 30% after that, but I always look at the SMA which is the indicator for whether I can hold overnight (must be...
The buying power during the day is different from the overnight rules of Reg T. If I understood the rules correctly, you also cannot buy funds on...
This is an example how it could play out (max ratio for initiating positions 50%). Both BIL and IOFIX (the target fund) move in a very predictable...
That's why I tested various "if it move up X, what is the further upward risk?" distribution. Long tail risk can blow it up. I don't have much...
IB specifically says: "By regulation, brokers may not allow clients to purchase mutual funds on margin. However, once purchased and held as...
Did anyone check out the IOFIX mutual fund (performance slightly better than IOFAX share class below)? [ATTACH] If it's as consistent a return...
After searching for ETFs for hours, I finally found something better than TLT + equity index 60/40: [ATTACH] Although for pure alpha, this looks...
Ah, yeah the same site that does the correlation matrix also does: https://www.portfoliovisualizer.com/optimize-portfolio , which is faster for...
I searched https://etfdb.com/etfdb-categories/ , and started to throw things into the correlation matrix against SPY/GLD/TLT. It's hard to find...
Separate names with a comma.