Hey, you need to quit that investment banking job pretty quick. Like, on Tuesday when you go back :) Good luck with your algorithms.
If you are an options trader per se, i.e. hedge delta and take vega positions only, then yes, it's difficult to understand what I'm saying....
ALMOST as cheap and plentiful as traders :)
The summed up costs of all the stopped out trades in a trend following system is conceptually equivalent to option premium cost.
Yes, it's impossible to get an edge buy buying options - Mr Taleb's fund demonstrated that very well. Don't buy options, instead simulate owning...
Yes that's absolutely correct. I was only asked about 2008 and 2009, not any other years. We're only half way through 2009.. My system has...
Well, the only downside to being long vol is the cost of buying the options. Reduce that cost to the maximum extent and you then maybe have an...
Precisely. Stock market crashes happen once every few years but each time one occurs the newspapers holler that it's the end of the world as we...
Hmm, I think the essence of Black Swandom is how generally *unexpected* the move was. I think that oil rally really shocked most people. The...
Good post. Actually I don't think it's a thread jack as system trading is system trading whether you are trying to catch 1 year or 100ms trends....
Me fooled by randomness? Well, it's not impossible.. any system that is set up to profit from big moves could be susceptible to no such moves...
Sometimes it's impossible to tell if someone trying to trade $500 into millions is a seriously deluded individual or just a wag trying to wind...
You prove my point exactly. You think I'm not ahead this year (ok let's forget 2008) because you think making money every quarter or month...
I was hoping not to be put on the spot like that, but if you insist, yes, I'm some way ahead. The problem at the heart of any investment bank...
What do you think is easier to predict, what is going to happen in the 50 milliseconds or what is going to happen in the next 1 year?? They are...
So that Learjet 25 I was planning on leasing just won't cut the mustard? I'll have to hang my head in shame at the bath & racquets club.
Do you (fractionally) own, lease or charter?
I used to like Aston Martin before they decided premiership footballers were their target market. I used to have a TVR Chimaera until I...
You could just give the $100K or so directly to a variety of, er, kittens. Wouldn't that be dealing direct? ;-)
Somewhat. What kind of account size would you need to trade 1 (say) S&P 500 contract? What would the worst drawdown be? What's the back tested...
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