02/17/2012 13:00:13 OFV = -939.62 Sell to Close SPX at 1360.62 02/17/2012 14:01:47 OFV = 1363.92 Buy to Open at 1360.87 Spread = 3 02/17/2012 15:00:14 OFV = 1363.80 Sell to Close SPX at 1361.32 Extremely light trading day for the model.
With SPX at 1360 <table border="1"><tr><th>Date</th><th>Action</th><th>Price</th><th>Units</th><th>PnL</th></tr><tr><td>Dec 20, 2011</td><td>Sell to Open SPX</td><td>1229.89</td><td>2</td><td>-260</td></tr><td>Jan 11, 2012</td><td>Sell to Open SPX</td><td>1288.60</td><td>1</td><td>-71</td></tr><td>Jan 25, 2012</td><td>Sell to Open SPX</td><td>1321.20</td><td>1</td><td>-39</td></tr></table> Unrealized losses : 370 points
Queen (we are the champions) We are the decimals my friend, And we'll keep denying to the end, We are the decimals,,,,we are the decimals, No time for logic,'cos we are the decimals..... of nitro's world.. Iron Maiden - (the number of the beast) Woe to you oh logic and reason, For the model spews the decimals with wrath,, Because he knows the account is short Let him who hath understanding reckon the number of the beast, For it is a nitro number, It's number is 1361.6666666666666666666666, I worked alone, My mind was blank, I needed time to think to get fair value from my mind, What did i see?,can i believe? That what i saw on that chart was real,and not my fantasy, Just what i saw in my own dreams, Were they reflections of my warped mind staring back at me? 'Cos in my dreams,fair value's there, Revised,this model twists my mind and brings me to despair, YEAAAAAAAAAAAAAAAAAAAAAAAAAURRRRGH!!!
<embed src="http://cnettv.cnet.com/av/video/cbsnews/atlantis2/cbsnews_player_embed.swf" scale="noscale" salign="lt" type="application/x-shockwave-flash" background="#333333" width="425" height="279" allowFullScreen="true" allowScriptAccess="always" FlashVars="si=254&&contentValue=50120239&shareUrl=http://www.cbsnews.com/video/watch/?id=7399370n&tag=contentBody;storyMediaBox" /> Mozart of Chess: Magnus Carlsen Good piece Nitro. I think you'll like it.
I went to a lecture today http://www.elitetrader.com/vb/showthread.php?s=&postid=3453036#post3453036 and I am always amazed at how many ideas I get for trading models when I go to these things. For example, all of the coupling constants in the FV model are scalars. One of the things that was pointed out in the Higgs talk is that scalars particles interact messily with all other scalar particles. That has always been a concern to me as well in FV. It has occurred to me that perhaps the coupling constants, which are now scalars, should be a matrix, whose entries also get calibrated. For example, the covariance matrix of every parameter with every other parameter could be the coupling matrix. Sometimes this level of sophistication makes a model worse, but in this case I am nearly certain it will make it better. I should at least test it.
SPX, 1361.85. FV, 1060.72. OFV, 1360.75. POFVF, 1477.71. No trades today. Two things of note: 1) The calibration needed to match FV->SPX is now literally galactic. 2) You can see that in order for me to match SPX, (by seeing that OFV = SPX), the effect of that calibration can be seen in POFVF, whose value, in my opinion, is nonsensical I am convinced that SPX implodes sometime this week. I really should add short units, but already overextended.