Recent content by Raphael

I'll be living off dividends so the mindset is different. Once I buy the market price doesn't really matter to me anymore.

It's been a fun ride but I'm shutting this down. Everything is moving into index funds as I settle down for retirement. Best of luck all.

New high water mark at $90140. This is based on $80k in deposits, so a profit of $10140. Current positions GE MAR18 3 M6A JUN16 8 N225M APR16 -1 ZC MAY16 -2 ZT JUN16 3

Great article. Thank you! One thing worth noting is that KR3 and V2X are not available to US residents sadly. https://www.interactivebrokers.com/en/?f=%2Fen%2Ftrading%2FeligibleProducts.php With those removed the top 6 become US2, EDOLLAR, MXP, CORN, EUROSTX, VIX

It seems to me that max DD is a weird metric because it doesn't account for time. For longer time periods max DD is going to be larger simply because you're taking more samples of the random distribution. Put another way, as time approaches infinity, max DD is going to be 100% with probability 1.

Thanks! Also what is KR3 / KR10?

Rob could you please let me know the current forecast you have for carry on euro stoxx? I'm trying to understand why you have such a short position when I see a moderately strong carry forecast. I suspect something may be wrong in my implementation. Thanks!

Do you think gold would also be banned under NIRP? How about foreign bonds for countries without NIRP? Maybe they'd be classified as NIRP 'havens' and targeted? I can definitely see why a government would like a cash ban.

Another great day. $66.23k.

New high water mark. $65.27k, which consists of $60k deposits and $5.27k profit. Current positions: GE DEC17 5 ZC MAR16 -6 ZT MAR16 2

What a great day. Up to $44.77k.

Account is up to $43.75k, so $3.75k profit. Current positions: GE DEC17 4 ZC MAR16 -4 ZT MAR16 2 Waiting on additional funds to clear. The total deposits will be $80k shortly, at which point I'll extend some of these positions. I should probably redesign my portfolio at some point soon to...

Just to be clear put-call parity does not imply that options are not mispriced. There could be a gap between realized and implied volatility even if put-call parity is satisfied.

You're mistaking me with Amalgam.

You forward tested this for 100 years? You must be pretty old! Are you sure you don't mean back testing? This trading system sounds like something that was overfit / tuned to the data set its being tested on. That's data snooping and means your results are invalid.