No, your not... None of this has to do with portfolios I am talking about distributions of data points YOU will have to find a way to apply this to YOUR portfolio I refer folks to a book titled "The Mathematics of Technical Analysis" by Clifford Sherry...Published by "ToExcel". It is the simplest explanation of how to apply statistical analysis to a financial data series.. I don't mind pointing you (or anyone for that matter) in the right direction. I am sure you will understand when I say that it took me a few years to adapt it to my own intraday trading activities. Frankly that was a big investment that I am not anxious to just give away....I hope you find something of value to work with.. Steve
When the market will switch from a Gaussian to a non-Gaussian distribution cannot be predicted a-priori. So Steve, I'm wondering what the essence of your technique is. Is it just writing naked options or credit spreads, and using your formula to tell you which strikes to put the position on at?