Recent content by ajensen

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    Backtesting on 1 tick data

    If your system trades daily, you don't need to test every tick. If you are trying to arb S&P 500 futures vs. SPY intraday, maybe you do.
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    Automated emails based on price spreads

    Interactive Brokers is one I use.
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    Automated way to get credit ratings for a stock symbol?

    Is there an automated way to get credit ratings from Moody's, S&P, and Fitch given a stock symbol? I would like to see if credit ratings can predict stock return volatility.
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    Introducing brokers

    An introducing broker partners with a futures commission merchant (FCM) to execute customer trades. There are various introducing brokers who use Interactive Brokers as their FCM. Why would I use an introducing broker instead of an FCM like Interactive Brokers (where I have an account) directly...
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    Automated emails based on price spreads

    Suppose there are related securities, such as two preferred stocks of the same company, whose price difference should trade in a narrow band. How would you poll the market at a relatively low frequency (say every 5 minutes) and send an email when the price spread is outside a specified band...
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    For what ETF is the volatility risk premium especially large?

    Thanks. I see Thinkorswim has good historical options data. It's part of TD Ameritrade, now owned by Schwab. I have a Schwab account, but I don't see such data on the Schwab site. The TD Ameritrade and Schwab platforms are supposed to be unified in 2023. For now it looks like I need need a TDA...
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    For what ETF is the volatility risk premium especially large?

    Having looked at HYG options for years, it's my impression that the ratio of implied vol to historical vol tends to be especially high, perhaps because there aren't too many ways for retail traders to trade credit vol. Are there other ETF for which the IV/HV tends to be higher than for SPY? To...
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    Short JGB futures has asymmetric upside?

    Man (a UK money manager) seems mildly bearish on 10-year JGBs:
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    Change description of forum?

    Since that wonderful thread is titled appropriately, it should not be changed. But that was created by a user, not a site administrator, and someone is free to create a POTD Men thread.
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    Trend following in about 30 tweets

    I think this tweet storm by @macrocephalopod is very good. Robert Carver has book-length treatments of these ideas.
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