Recent content by BinaryAlgorithm

I've got daily historical data, I wonder if I should split the gap data out too since it can be significant. I've normalized it to percentage moves. It appears overall in the data set that a stdev is about 1%/day. 2020 data was more like 1.2%. monte carlo using actual movements should give a...

Expected value. Sum of the weighted outcomes. For example 500 * .99 - 13000 * .01

Just as example I did ES spot about 3900, sell put at 3635 buy protective put at 3500 with 19 dte. IB profile shows 99% for max profit about 500, 1% max loss of around 13000. However calculating for partial losses I've not found a good method of weighted outcomes for more complex cases to...

I have run more calculations and the maximum leverage which the Reg T math allows is 1.5x no matter how many wait cycles are performed. For $15,000 initial cash, this occurs at $-7500 from BIL shorting, and $22,500 into the fund (post-30 days). However, there is hope for PM accounts...

Yes - it's 50% on the first day and 30% after that, but I always look at the SMA which is the indicator for whether I can hold overnight (must be > 0). I can't use the numbers for margin in the IB dialogs because they assume 25% during the day. On PM it's different, a lot more free (it's my...

The buying power during the day is different from the overnight rules of Reg T. If I understood the rules correctly, you also cannot buy funds on margin, it has to be from a positive cash balance. You have to be under 2x of any included assets (new funds purchases are not counted for 30 days) at...

This is an example how it could play out (max ratio for initiating positions 50%). Both BIL and IOFIX (the target fund) move in a very predictable way. Here I have started with 40k and then effectively "borrowed" $27.4k into the mutual fund without violating Reg T. at any time. In reality IOFIX...

That's why I tested various "if it move up X, what is the further upward risk?" distribution. Long tail risk can blow it up. I don't have much skill for market timing, so I usually calculate mechanical strategies in order to better define the risk profile. I am pretty skeptical of "income...

IB specifically says: "By regulation, brokers may not allow clients to purchase mutual funds on margin. However, once purchased and held as fully-paid for a period of 30 days, the mutual fund shares have loan value which may be used to extend margin credit against subsequent stock purchases."...

Did anyone check out the IOFIX mutual fund (performance slightly better than IOFAX share class below)? If it's as consistent a return as it looks couldn't I just short BIL (0.7% fee rate and about 1.5% yield currently) and invest most of the proceeds into this to earn the 10-11% rate? The...

After searching for ETFs for hours, I finally found something better than TLT + equity index 60/40: Although for pure alpha, this looks promising: https://www.portfoliovisualizer.com/fund-performance?s=y&symbol=IOFIX , and http://alphacentricfunds.com/funds/IncomeOpp/FactSheet.pdf

Ah, yeah the same site that does the correlation matrix also does: https://www.portfoliovisualizer.com/optimize-portfolio , which is faster for testing any symbols I want to throw in. I'm running through dozens of high sharp ratio long lived ETFs for each component.

I searched https://etfdb.com/etfdb-categories/ , and started to throw things into the correlation matrix against SPY/GLD/TLT. It's hard to find something that diversifies against SPY, and there are even fewer things that are not correlated to any of them (but maybe that is an opportunity to run...