Report since April 10th Market moves: Big falls in Korean bonds (7 daily sigma move), Aussie rates, Italian bonds (greek contagion?); all of...
I run a fully automated system so the question is quite different, but still interesting. Do you: a) Turn the system off and close all...
You must have a small desk :-) +1 for fortunes formula Behavioural finance: Thinking Fast and Slow Daniel Kahneman Beyond Greed and Fear...
NMM is exactly right - I'm talking about a synthetic put not a real one. "Pricing" these puts (seeing the effect on your p&l) is difficult. You...
What you're doing is roughly equivalent to buying a synthetic put option on your own performance. Such an option can't be costless, although it...
Thanks for the generous response. If I was trading spreads right now I'd definitely consider other markets. Although fixed income is where I...
I stumbled across this thread by accident, and looking at the subject line I realised I'm kind of trespassing, but its an interesting subject. I...
Nice video on risk aversion. Would be good to have one showing prospect theory... Instinct tells me if there's 'free money' (or at least positive...
Amusing article from the FT alphaville boys (and girl) Picture the scene in the London borough of Hounslow on Tuesday lunchtime, as police moved...
Interesting and as usual well informed take from Levine@Bloomberg...
Thats not the same thing at all... there was no guarantee that Apple shares would have gone up as much as they have, whereas the OP is talking...
It seems most likely the world has changed then. Trading this quickly its very likely you're picking up on market patterns that don't last for a...
This suggests your 3 year performance has been unusually good compared to your backtest.
So you've had Sharpe Ratios around the 2.5 to 4.5 mark for several years and for the last 6 months you're Sharpe has been about -1. What was your...
It looks like free money. So it can't exist. The two year forward FX price would reflect the expected interest rate differential, such that the...
Whats the average holding period? Whats the average annualised standard deviation of returns?
Did the market trade there?
Definitely good to have other investments, preferably paying steady dividends, and to have a Last year things were a bit more chaotic as I was...
I also don't agree entirely that leverage helps. It just increases your return, and your vol. Data fees and other expenses aren't that high. So...
Firstly if you're trading daily, it should be a reasonable assumption that you're signal isn't too quick. So if you backtested getting your fill...
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