If you look at the histogram of daily SPY change (1980-2005), it shows "fat tails" on both side: Are both tails tradable was my question. Taleb in his writing implied he took advantage of the left tails. I modeled SPY histograms from 1993-2019, the left tails are a lot more pronounced than the right, thus my question. I don't know how to tie this to vol and variance because I only think in price space.
iron, not only do you see fat tails.. the MAJORITY of the markets down moves are from the left tail, and vice versa for the right tail. pretty crazy when you think about that.
we just need to acknowledge that there are things unknowable and hedge ourselves (clip the left tail off); can be done a few ways
1. Both tradable 2. Because of the skew 3. Let’s focus on our payoff space and simply make that, at the least, robust to tail events(surviving) or take it one step further and become antifragile to tail events (thus surviving and gaining from the event itself). people spend a lot of time on x versus f(x) https://www.elitetrader.com/et/threads/the-fallacy-of-forecasting.336260/
. I always wonder why someone like you, @Same Lazy Element, @Kevin Schmit, @taowave... spend time on ET helping us retails? But we sincerely thank all of you. The most important concept I learned from @MrScalper.
need not draw a line in the sand and put these users you've mentioned above on one side and yourself and retail on the other. we're in this together. all those guys im sure have had large losses like myself and humbling experiences; its the post traumatic growth experience where the knowledge develops, if you allow it to. And one must nourish that process and allow it to happen, but closed-mindedness, stubbornness, ego, and arrogance kills it. We're all just humans, and to be human is to be prone to be fooled by randomness. plus, idk the distinction between retail and professional. As long as your P/L is positive over time........ that’s the only thing that really matters, isn’t it
https://www.edge.org/conversation/n...th-quadrant-a-map-of-the-limits-of-statistics https://www.edge.org/response-detail/25401