Recent content by shMark

I have changed my opinion about her. I think she is a fraud. She talks about finding leaps with 0 or 1% time value, and they don't exist. She also likes to mention that she is vacationing on a tropical island because she has done so well.

They are totally different strategies. Going long with a DITM call on SPY is just leverage. Since the market goes up more than it goes down, it should work over the long term. Spreads are like arbitrage. A lot of small trades that make small profits. My concern is if I switch between...

So I read about two ways to use the DITM leap strategy. One is just to use it with calls. The other is based on technical signals, switch between calls and puts. I am leaning towards the calls only method. Thoughts?

The problem with experts can be that if they have devoted their whole life to espousing one idea, They are not at all open to new ideas. They see them as a threat. When Robert Shiller started talking about behavioral economics, he was horribly shunned because everyone was modern portfolio...

The link below is an article that discusses how the 200d and 50d moving averages have lost their predictive power since 1993. https://www.morningstar.com/news/marketwatch/20240420320/heres-what-the-sp-500s-50-day-moving-average-is-telling-us-now-about-stocks From the article. From 1928...

No. I relied on his backtests. Is orats free? It seems DITM leaps are a much better strategy?

I just wrapped up my third book on buying LEAPS, and this one brings a fresh perspective. The author suggests allocating 20% of your portfolio to an at-the-money (ATM) LEAP on SPY, with the remaining 80% invested directly in SPY shares. The entry signal he recommends is quite specific: buy in...

Also, I don't expect to beat the market by a lot. If I can beat it by 1 - 1.5% a year with a high sharp ratio, I am happy.

At this point in time, I am no longer a quant. I rely on other people’s backtests, not ones I have done.. The backtesting software I have access to, can do anything in the world. However, it was written by a PhD in Math, not a software engineer, so it is very user unfriendly. You almost need...

When I used to do it, we took overfitting into account, and had about 10 statistics we used to make sure they were valid tests, and still failure. It could have been as simple as more sophisticated people with better backtesting software started doing it, and arbitraged any advantage away. I...

You are both right. I was once a quant, and I have seen so many things work well in backtesting, and then fail. I have even seen things work well in backtesting, and then work well for ten years after backtesting, and then fail. The stock market is a very humbling place.

I don’t post much, because I have very little of value to say. Here is something that I think is worthwhile. Very long backtests that were the bread and butter of the quant’s approach I consider more or less irrelevant. Markets change too much based on macro factors to consider them to be...