Hi all: I have devised and tested a strategy using the standard Black-Scholes and a qualified random walk model, and I have found a strongly positive expectancy in this strategy. I have also tested it in real life with indices such as DJX, and results were as I had expected. My experiences are limited to currencies, equities, and equity indices. I am considering trading a more volatile market because of the positive expectancy even in a random walk (under an acceptable constraint), and volatility means potential. My question is, Which market is most liquid and most volatile? Debt, individual stocks, equity indices, commodities, currencies? Thanks for any suggestions.
FOREX options trade at very low volatilities. I remember going years with dollar / yen volatilities in the single digits. I remember a stretch in dollar / gbp were volatilites were sub 5%
Healthy skepticism is always welcome. I didn't believe it myself at first, but after so many trials, I am convinced. But please note that it is a "qualified" random walk, and it works only under some "acceptable constraints." It is still quite possible that I lose big. Fortunately, in events that brought down Long Term Capital Management and all hellish correlations go to one, I would probably be okay.