Recent Content by meanreversion

  1. Selling both Puts & Calls - Strategy idea

    I thought short vol was the ultimate high Sharpe strategy, a la LTCM ... ? The funds and punters who've made the most money from options over...
    Post by: meanreversion, Apr 27, 2011 in forum: Options

  2. Selling both Puts & Calls - Strategy idea

    Are these the same institutional managers who lost truckloads when the market collapsed in '08? I'm not disputing that occasionally end users...
    Post by: meanreversion, Apr 27, 2011 in forum: Options

  3. Selling both Puts & Calls - Strategy idea

    It's like I said - anyone who convinces themselves that a systematic short vol strategy is profitable will not be persuaded otherwise.. no amount...
    Post by: meanreversion, Apr 27, 2011 in forum: Options

  4. Selling both Puts & Calls - Strategy idea

    Who is consistently buying and losing money on S&P options? It's odd, when you think that the most obvious thing to do with options is sell them,...
    Post by: meanreversion, Apr 27, 2011 in forum: Options

  5. Selling both Puts & Calls - Strategy idea

    Would you care to give us an example of either case?
    Post by: meanreversion, Apr 27, 2011 in forum: Options

  6. Selling both Puts & Calls - Strategy idea

    If you're bearish on vol and turn out to be right, then of course, that is a viable strategy. By "selling options", I am referring to the...
    Post by: meanreversion, Apr 27, 2011 in forum: Options

  7. Selling both Puts & Calls - Strategy idea

    It is now my firm belief that if anyone decides that selling options is a viable strategy, they cannot be convinced otherwise. Thus this thread...
    Post by: meanreversion, Apr 27, 2011 in forum: Options

  8. Selling both Puts & Calls - Strategy idea

    The major differences between you and an insurance company are 1. they have a vast number of positions, thereby achieving a (mostly) balanced...
    Post by: meanreversion, Apr 27, 2011 in forum: Options

  9. Selling both Puts & Calls - Strategy idea

    Well, rather than putting the burden of proof on me, think about it from another angle.. In order for your strategy to work in the long run,...
    Post by: meanreversion, Apr 27, 2011 in forum: Options

  10. Selling both Puts & Calls - Strategy idea

    Are you Howard Cohodas in disguise?
    Post by: meanreversion, Apr 27, 2011 in forum: Options

  11. Selling both Puts & Calls - Strategy idea

    The price of an option reflects the anticipated cost of hedging it. Thus there is no merit in your strategy whatsoever, UNLESS you believe that...
    Post by: meanreversion, Apr 27, 2011 in forum: Options

  12. My Automated Trading Strategy (3Years+ of Historical Data) Please Critique!

    The other issue which I don't believe has been mentioned is the quality of data that Julian is using. I've not used NT, but I had eSignal for a...
    Post by: meanreversion, Apr 6, 2011 in forum: Data Sets and Feeds

  13. Systematic traders! Hear ye! Hear ye!

    I never look at the equity curve for backtests as the eye always sees what it wants to. If you're excited about the system, you'll only see the...
    Post by: meanreversion, Mar 9, 2011 in forum: Strategy Building

  14. Software that executes through IB

    I run a robot using Amibroker to control IB. The data feed itself comes from IB into Amibroker, so it's neat (2 systems instead of 3). This is a...
    Post by: meanreversion, Sep 3, 2010 in forum: Trading Software

  15. TWS 904 - anyone know where I can find this?

    I'm having compatibility issues using Amibroker 5.3 with TWS 907. I've installed the latest Amibroker IB controller (1.3.8) but am still unable...
    Thread by: meanreversion, Sep 1, 2010, 0 replies, in forum: Trading Software