Daal's Recent Activity

  1. Daal replied to the thread Global Macro Trading Journal.

    It certaintly does look like deep risk. However, I would point out that you have to factor in dividends and adjust those prices for the...

    Oct 20, 2018 at 8:06 AM

  2. Daal replied to the thread GLD implied volatility.

    Hi, where did you get that chart? Tks

    Oct 19, 2018 at 6:30 PM

  3. Daal replied to the thread Global Macro Trading Journal.

    But I dont like the description that Deep risk leads to a 'permanent loss of capital'. Even Greek stock investors dont have a permanent...

    Oct 19, 2018 at 6:13 PM

  4. Daal replied to the thread Global Macro Trading Journal.

    Good Article https://awealthofcommonsense.com/2018/10/the-worst-kind-of-bear-market/ "Either way, these numbers highlight the different...

    Oct 19, 2018 at 6:08 PM

  5. Daal replied to the thread Global Macro Trading Journal.

    Leon Cooperman makes the point that US equities are priced at 16x fwd PE vs 15x historical when historical rates were around ~5-6% vs...

    Oct 19, 2018 at 5:34 PM

  6. Daal replied to the thread Kelly Criterion & Risk Of Ruin As Risk Management Tool.

    From my initial tests it looks like this is not worth pursuing. Usually, for most systems I tested the lower the kelly fraction the...

    Oct 19, 2018 at 1:34 PM

  7. Daal replied to the thread Kelly Criterion & Risk Of Ruin As Risk Management Tool.

    I agree. From my monte carlo simulations, using 1/2 Kelly doubles the return/median DD (CAGR/Median DD) ratio while cutting returns by...

    Oct 19, 2018 at 7:24 AM

  8. Daal replied to the thread Kelly Criterion & Risk Of Ruin As Risk Management Tool.

    In my simulations I did find that the median drawdown improves a lot (less than half) with 1/2 kelly vs full kelly. But since the max DD...

    Oct 18, 2018 at 8:22 AM

  9. Daal replied to the thread Global Macro Trading Journal.

    From 1967 to 2017 the US Debt to GDP ratio grew from 39% to 103.5%. I did a quick analysis to see how much of that happened due to...

    Oct 18, 2018 at 7:07 AM

  10. Daal replied to the thread Global Macro Trading Journal.

    I was thinking about this, I believe this is more of a function of what the government wants to issue. If the Treasury decided only...

    Oct 18, 2018 at 5:55 AM

  11. Daal attached a file to the thread Global Macro Trading Journal.

    [ATTACH] Currency and coins per capita have grown at a CAGR of 6.25% since 1965. Kinda interesting, you would think that because of...

    upload_2018-10-18_2-50-26.png Oct 18, 2018 at 1:51 AM

  12. Daal attached a file to the thread Global Macro Trading Journal.

    UST securities held by the public, % of total Tags: Bonds, bills, tips [ATTACH]

    upload_2018-10-18_2-41-12.png Oct 18, 2018 at 1:41 AM
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