Most of the market making occurs within a single asset and is based on the state of the various order books across multiple exchanges....
Similar to a driving or flight simulator, you get to use the real life information to make decisions and execute them. So in a trading simulator,...
True that. I'd think for someone with that little capital the progression should truly be paper trading (or backtesting) and then micro-trading...
In my mind, trading 1-lots is the same as paper trading. I have several new strategies where I am targeting pnl volatility of 5-10k a day -...
Even overnight in low liquidity times?
In general, if you have access to a good simulator you want to spend as much time on it as you can (or a good backtesting system, but that...
It's at 12 bps right now (give or take depending on what you use as 10s yield, CMT or OTR). [IMG]
While off topic, I think that's not really true, to be honest. There are multiple layers of selection for a school like Hogwarts even before you...
I literally spent 10 min on it did it because I could not fall asleep until 3 AM. Gonna take some ambien tonight once Asia closes. Just a thought...
[IMG]
Here, for those who care to play with the numbers
My quick and dirty study assumes perfect MOC and MOO execution, with zero transaction costs. I can even attach a spreadsheet if someone would...
Actually, volatility is lower in the close-to-open vs open-to-close periods, while the drift is higher (for SPY since inception, for example):...
How do YOU measure interbank lending?
To be honest, I don't know where the 600% from the first post comes from I just spilled my drink! On a serious note, can they even send MOO or...
Sharpe 0.5, so this thing is somewhat better. It's correlated to buy and hold, so that would make it less exciting, even if PnL/trade was OK.
Sorry, what are these numbers? Ratio of vols or something? For what strikes? Are they normalized? Cause that's not the dynamics that exist in real...
It's less about Sharpe and more about PnL/trade, IMHO. I'd gladly add a 0.5 Sharpe strategy that has a t-stat of like 6.5, but it pisses away most...
Mkay, I am bored stiff (stuck at home with a sprained ankle) so I just ran it on SPYs: Sharpe 0.82 Daily Vol 0.62% Median 0.05% Mean 0.03% Min...
Run it on SPYs and tell me what you see as an average PnL per day. It's gonna be like 3-5 bps, I'd venture. As I said, a couple ways of juicing it...
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