Interesting...So you're basically saying that the expectation of both option sellers and buyers is zero (sans transaction costs)? But doesn't...
Hmm.. I had never thought of it from that perspective. My guess is that if you were to randomly sample a basket of Nas100 stocks you would end up...
Thanks for the reply, rosy. I think in the context of the scenarios I mentioned, the expiration is irrelevant, as the annualized return for any...
Thanks for the reply, heech. Would the larger losses apply to the more thickly traded options as well? I'd assume that calls/puts in...
Question for the option sages who inhabit this part of the ET forums: I've been researching options pricing the past few months and based on...
I had a similar problem last week: The "Last" field on certain symbols was not updating, although the bid and ask were. This happened on two...
Agreed. But I think I personally lean more toward RAR, as the classic Sharpe assumes that all volatility is bad. Thus for example Sharpe will...
MGJ, thanks a bunch for posting your results - much appreciated. Based on your tests at least, it appears the two metrics are correlated enough...
Awesome post!
Unfortunately, you're looking in all the wrong places. Attached is the equity curve from a 10 year backtest of the system I'm currently trading...
Stupid Question: Are Sharpe (trade expectation/stddev) and RAR (return/maxDD) pretty much interchangeable as fitness metrics? ie: All things...
Apple II+ 48K w/3 Floppy Drives and an Microsoft CP/M card Great computer at the time (pre-IBM clone, pre-Mac). Reason for three floppies...
My pleasure - hope its of some use. Best, jazz
If you haven't already, check out C2 (I'd post a link, but I'm not sure if it's allowed). There's a popular system on it called ETFTimer that...
In my experience, hard stops have always degraded performance, but of course YMMV. Try backtesting a system that uses stops and take a look at...
I currently use IQFeed (~$60/mo), but used Reuters (~$30/mo) in the past. Reuters is EOD only and is mainly stock driven. Both have huge EOD...
Yeah, I have to admit I was concerned that perhaps I've been a bit too candid (the views/posts ratio of this thread is pretty high, so there are...
Its actually really great to hear another strategy trader confirm similar findings and experiences. I hear a lot about Kelly around here, but...
Thanks for taking the time to share your insights - much appreciated. I currently bot-trade stocks intraday, but am currently backtesting...
Sure - its simply holding your position after entry for some fixed amount of time (seconds, minutes, hours, days, etc). Your position gets...
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