[IMG] They should make every market trade by price is right rules (showcase showdowns included) - that would be fantastic.
Oh they can handle it with aplomb, IBs systems have developed a strong sense of confidence through learning algorithms, and handle...
There's no way to tell with OHLC data, you need increased granularity through intraday data. Roughly, you'll find it's a pretty even split...
Don't worry, I'm short way too much delta...we'll gap up Sunday. :D
Speaking of, it's that time of the year again. Aside from the basic accounting and finance knowledge - the CFA also has a way of making you...
I knew you'd say that!
[IMG] I'm a backtest billionaire many times over:p
I agree, but that's not entirely true - he also had examples of turning a losing long call into a ratio so that it turns a marked loss into a BE...
In hindsight, and with the knowledge of a backtest I would've stayed out of this conversation.
Of course, that's how it works - there are no guarantees. "You pays your money and you takes your chances". ...to a similar point. When you...
IMO, yes, it provides a methodological framework for evaluation which can lead to insight. I will also say that reliance upon a 100% systematic...
Generally P/L is a pretty good indicator of whether a system is profitable or not.:p I don't think people are saying backtesting is bad, but it's...
You can get span with futures options which is like pm.
Is this what you're referring to? http://www.elitetrader.com/vb/showthread.php?t=208992 Seems like you got some legitimate input in 2010 on why...
[IMG] Q1 summary. Currently up ~13% ytd which breaks down to roughly... Jan: -.75% Feb: 7.8% March: 5.9% Correlation to SP is ~.40...
This what you're referencing? I was going to post the attachment, but the file size is too large - this link should work though:...
Good point. This also adds to the difficulty of trefoil's other strategy to short vxx/short sp. We've had a frustrating amount of days where...
...wasn't sure if it was 1p or 2p.:p
Up, up, down, down, left, right, left, right, B, A.
He definitely screwed some people:p
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