Reverse engineering risk? Didn't you already spill the beans for the reverse-engineering nerds? (To look at futures and options prices)
The losers lack imagination.To create the holy grail , you need all the information , little information can be dangerous. Nothing is impossible, the word itself says 'I'm possible'! You need to aim beyond what you are capable of. You must develop a complete disregard for where your abilities end. Try to do things that you're incapable of... If you think you're incapable of running a company, make that your aim... Make your vision of where you want to be a reality. Nothing is impossible. Nothing is impossible in this world. Firm determination, it is said, can move heaven and earth. Things appear far beyond one's power, because one cannot set his heart on any arduous project due to want of strong will.
My personal trading style is mostly discretionary; I kind of treat trading much more as an Art...rather than a science. I consider alot of variables when I trade. ...and play, or feed, off of those considerations as I watch or monitor the chart during the day.
Stop "including 2008" in your backtest, 2008 was a good year for every systematic fund manager ever. - What's your average trade profit ? - what are the execution cost / slippage assumptions in the backtest ? - what was your fitting period ? in-sample / out-of-sample data ? Regards
Sounds like you're selling DOTM option premium. At the risk of stating the obvious, picking up nickels in front of a steamroller.
That was essentially the fate of Long Term Capital Management in 1998, The Midas Formula: Trillion Dollar Bet, 2000 BBC options documentary: http://documentary-movie.com/trillion-dollar-bet/
ltcm was relying on an option formula and were short I am long , my risk is limited lugar , you will lose your trousers , i never will