I thought short vol was the ultimate high Sharpe strategy, a la LTCM ... ? The funds and punters who've made the most money from options over...
Are these the same institutional managers who lost truckloads when the market collapsed in '08? I'm not disputing that occasionally end users...
It's like I said - anyone who convinces themselves that a systematic short vol strategy is profitable will not be persuaded otherwise.. no amount...
Who is consistently buying and losing money on S&P options? It's odd, when you think that the most obvious thing to do with options is sell them,...
Would you care to give us an example of either case?
If you're bearish on vol and turn out to be right, then of course, that is a viable strategy. By "selling options", I am referring to the...
It is now my firm belief that if anyone decides that selling options is a viable strategy, they cannot be convinced otherwise. Thus this thread...
The major differences between you and an insurance company are 1. they have a vast number of positions, thereby achieving a (mostly) balanced...
Well, rather than putting the burden of proof on me, think about it from another angle.. In order for your strategy to work in the long run,...
Are you Howard Cohodas in disguise?
The price of an option reflects the anticipated cost of hedging it. Thus there is no merit in your strategy whatsoever, UNLESS you believe that...
The other issue which I don't believe has been mentioned is the quality of data that Julian is using. I've not used NT, but I had eSignal for a...
I never look at the equity curve for backtests as the eye always sees what it wants to. If you're excited about the system, you'll only see the...
I run a robot using Amibroker to control IB. The data feed itself comes from IB into Amibroker, so it's neat (2 systems instead of 3). This is a...
I'm having compatibility issues using Amibroker 5.3 with TWS 907. I've installed the latest Amibroker IB controller (1.3.8) but am still unable...
Pinnacle data provide their own chosen rollover dates for their continuous futures; with CSI you can select how you want the system to rollover....
I've done most of my backtesting on FX spot, and now I've got the data, am comparing system results between spot and futures. So far, the results...
Ah, it wasn't just me then. I attempted to use CSI with Amibroker but it wouldn't work with the latest version (5.30). An engineer from CSI...
Finally someone making sense. I'm not even sure why those two bothered to reply to my initial post if they had nothing to say. I've been...
Thanks Rodney King, I'm sure there are some good threads. One of my intial questions was 'which data provider is good for futures' to which the...
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