Recent content by Vol

  1. V

    Using futures to hedge increasing ARM rates

    The $3M does not refer to an amortized loan. The math is tricky and it depends of how much of a hedge you want. 1 pt move in the future = $2.5k. 1 pt seems to equal 1% in the LIBOR. i.e. if LIBOR rate goes up 1% EM goes down 1 pt. You could figure how much extra interest you would pay for...
  2. V

    Using futures to hedge increasing ARM rates

    I've searched but I can't find where this has been discussed before. ARM rates are often tied to the LIBOR rate. There is a CME future for one-month LIBOR rates. http://www.cme.com/trading/prd/ir/libor_FO.html Could someone with an ARM mortgage use this product to protect an increase in their...
  3. V

    Successful traders keep silent

    I believe it was Tim Sykes.
  4. V

    VIX and the Greeks

    Ol' Larry Mac called it good: http://webreprints.djreprints.com/1747130359645.html
  5. V

    are the futures getting hit?

    Midnight crew still at the lockers shooting the shit and puffing on that last cig. Wait till they get rolling on their shift...
  6. V

    Things are turning bullish.

    You mean with Algore?
  7. V

    Will Pay $1000 Per Hour For GOOD Mentor

    He's looking for a Black Swan.
  8. V

    Is this a form of money mangement?

    Assume this is a mechanical backtested system. In plan #1, a regression strategy, as System A approaches x% of max historical drawdown, you divert resources from system B to A.
  9. V

    Is this a form of money mangement?

    No, same instruments, different strategies. E.g. trend system and anti-trend strategies on index futures. Since same instrument and opposite strategies can come close to anti-correlation.
  10. V

    Successful traders keep silent because trading is so simple...

    So you divulge or, better yet, sell your system of 8 and 34 MA crossover when, in fact, your system is a 7 and 33 MA crossover. Nice.
  11. V

    Is this a form of money mangement?

    Say you want to trade two systems that anti-correlate with each other, such as a trend system, "system A", and a counter-trend system, "system B". You have backtested and found that when one is losing money, usually the other is making money. What if when system A is in a drawdown, you...
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    • Replies: 7
    • Forum: Trading
  12. V

    Will you buy timmay's hedge fund book?

    By Chuckie Kirk, a trading, legal and golfing wizard!
  13. V

    Will you buy timmay's hedge fund book?

    Timmay aliases include: 1) TudorJones 2) marketsurfer 3) ghostzapper 4) ElPrado If you're going to go conspiratorial, you might as well go all the way!
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