Of course not. Lewis Carrol did! Just a test. You passed. I could have said it was Baudelaire in translation and nobody would have known the difference.
Hypostomus, I serve with Jack Hershey on ET. I've read the writings of Jack Hershey. Jack Hershey is NOT a friend of mine. Hypostomus, you're no Jack Hershey.
Mon ami, that is how you price CREDIT trades. You take all those risk factors, simulate them and you get the NOW price for the transaction. Tommorow, you reprice. That document has nothing to do with the CREDIT world. The simulation is used to take ALL possible scenarios and given current market conditions, past behavior, and map them onto the life of the CREDIT transaction to figure out what is the CREDIT price. You questioned whether I knew anything about time series analysis. I responded to exactly how and where I use it and how my use of it requires that it is done in a manner that can be taken to the bank. It has nothing to do with the document you posted. I do not need to run any stochastic model for IR/RR/CSP to figure out what is the NOW price of LEND or a futures contract. One just looks at their level II. There is no LEVEL II in the CREDIT arena. You have to solve for it. I pointed out a completely different trading arena where I actually use the analysis you assumed I did not have. Assumptions on top of assumptions. Assertions and desertions. It's very simple! Two backtests, same code, one is negative the other is positive... What's different? If the code is the same, then what input did you use (ie. portfolio)? It's kind of like when someone has a stomache ache, a doctor (someone who would be able to diagnose the source of the stomache ache) may ask a basic plausible question like "what did you eat today" (ie. input into your stomach)...
I would wish to point out to this august group of posters that I am wasting my time here this afternoon because I have three highly sophisticated DSP-based indicators which tell me to surf ET rather than wasting my money trading during "take your money" time. I seriously doubt that the rest of you have any such excuse.
If you're modeling RISK (and you said you are), you're FORECASTING. Spinning it differently doesn't change reality. Speaking of reality, I doubt you evaluate ALL possible scenarios. I have no idea why you keep repeating "that document has nothing to do with the CREDIT world, " and "it has nothing to do with the document you posted." I never said it did! LOL!!! What portfolio did you use for your backtest? In other words, which ADDITIONAL conditions did you introduce?
No, they are intraday indicators. In addition, I am considering an ET-based indicator: when the Jakovs post mid-day, it is time for a breakout. It's a male tension thing, there (apparently) being no female Jackers. If there were, I would devise a bitchiness indicator.
I don't think I would have the stomach to hold a 750 lot. That's 37,500 a point, 9375 a tick. Maybe with tape covering up the P/L and only looking at it in points.