poopy's competition journal

Due to volcorr.

 

Precautionary exit from long due to all three market indices reacting badly to port strike news, -.23%, portfolio now -1.54% since the beginning of the comp.

 

-1.3% on the day. RV up but I've been long AAPL all (last) week in vol. +2.7% net. 2X risk. AAPL is gone. RV trade deep in the left tail and at a credit so good gains to exp.

 

All single index. No beta tickers.

 

back to high water. Was down 1.5 at worst mark. Skew lock and RV-trade pulled it out. Skew > vol-line.

 

4.55% gain from inception at -1.5 DD. 3X risk.

 

Presumably this is NDX? Are you able to get your orders done in one go or do you have to leg for more complex stuff in NDX? Sorry if this is a dumb Q...

 

NDX yes. There is a COB-order but generally I send it as component trades.

 

Gratz, Mr. P

I'm going to scale back activity until the equity curve turns around, but will still update with weekly P&L. Thanks for explaining your strat. It's like 1000x better than what I'm trying to do!