Karen the Supertrader - TastyTrade Hybrid Experiment

Discussion in 'Journals' started by Sweet Bobby, May 18, 2016.

  1. I have to say that, on first blush, Karen's strategy is pretty superficial and numerically naive. Without disclosing too much, I can say that I have some insight into Jim Simon's quant shop as well as some other big data/machine learning shops that look for tradable patterns in oceans of data. This kind of pattern, if it existed, would be identified in about five seconds, then traded back down to a signal:noise ratio of 0 in no time flat. No, I haven't run the experiment, but I can say that a scheme this simple has a near-zero chance of success over any significant increment of time. $2K on $150K over a few weeks? In my world, that's noise.

    But I could be wrong. By all means, run the experiment.
     
    #432     Jul 21, 2016
  2. Dolemite

    Dolemite

    That is an insane amount of neg gamma for what little theta you are earning. That neg delta will go away with a 1sd move down. Unfortunately, the neg vega isn't going to help much with vol this low if we stay here or go up but it will definitely hurt on a vol pop. Have you modeled your portfolio with the market dropping and vol popping up over the mid 30's? Unfortunately, the TOS software can't accurately reflect the fact that everyone will be wanting to buy those far otm puts you sold but I can promise you from personal experience it will be much worse than any modeling program you run.
     
    #433     Jul 21, 2016
    i960 and Better Yeti like this.
  3. Pekelo

    Pekelo

    Yes you are and you don't know what you are talking about either. The guys have been trading this for 3 years nicely profitably, so that is a significant increment of time in my book. Next time read the thread before you post...
     
    Last edited: Jul 22, 2016
    #434     Jul 22, 2016
  4. Pekelo

    Pekelo

    Slightly offtopic, but if anybody is interested how Tom and Tony looked 8 years ago and how ToS was ran by them (well, Tony was just a teacher) check out Wall Street Warriors season 3 on Youtube. The show is very boring (so skip most of it) but these guys make it a little interesting.

    I liked the 140 monitors wall for educational purposes, which was an overkill, but looked cool. Teaching the new costumers hand signal was also funny, after all they want them to use a software, not thousand years old smoke signals.

    Nevertheless, a bit entertaining and a look back to old days, where they came from.

    Oh yeah, Tony also mentioned that he never had a losing month while being an option trader. That is interesting compared to the fact that TastyTrade is unable to put up a clearly profitable portfolio...
     
    #435     Jul 22, 2016
    JoeLeTrader likes this.
  5. I don't believe it. And neither does the SEC believe Karen Supertrader, as she's currently under indictment. You just keep humping that unicorn, sweet pea. Some of us have a more skeptical nature.
     
    #436     Jul 22, 2016
  6. Pekelo

    Pekelo

    I didn't mean Karen but the Yahoo boys, who have been live trading the strategy for 3 years. You should really read this thread first...
     
    #437     Jul 22, 2016
  7. I glossed it. I concentrate on the essential. (You should try it sometime...) My essential point is that a mathematical anomaly that much out in the open in the age of Big Data and Machine Learning is highly, highly implausible. From my end of the telescope, it scans like somebody saying, "Hey -- I found a unicorn! Just around the corner. Take my word for it!" Yeah. Maybe there is a unicorn. Maybe there is something to cryptozoology and medieval myths coming to life. Sure; I can't prove it's not true. Still. I'm not getting out of my chair. The fact that the inventor of this Unicorn Hunting Methodology is under indictment for fraud doesn't help your proposition, but I'll be happy to bracket that for now.

    So, the onus is on the guys doing the experiment to publish their trade logs, in real time, over a statistically significant increment of time. Until that happens, I don't believe it.

    You shouldn't find that threatening. I'm just one guy (one guy who has generated a helluva lot of alpha in his time (He types, from his Hollywood Hills compound...)) so you can ignore me without rancor. Okay?
     
    #438     Jul 22, 2016
    Appleseed likes this.
  8. Its not about increasing winning percentage. wins and losses net out over time as you buy or sell markets not stocks and ultimately you earn from the premium. thats the concept. Instead of giving iyour 250 k to a mutual fund. Trading thats what you do with only 12 % of your portfolio. Maybe you should really first watch the segment otherwise a discussion doesnt make a lot of sense.
     
    #439     Jul 22, 2016
  9. https://www.soa.org/Library/Newslet...8/October/rar-1998-iss31-chandrashekaran.aspx


    Is this the paper? It states that the 87 crash was a 20 sigma event.

    Brexit is considered a 12 sigma event in GBUSD (I had a short naked position). SPX not so much.

    Source with several markets (and doomsday undertone of course):
    http://www.zerohedge.com/news/2016-...bigger-anything-seen-2008-and-what-comes-next
     
    #440     Jul 22, 2016