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Well, the US market remained closed on 9/11, which effectively was a circuit breaker. This said, 2020 was unique due to the market positioning (and I think we are getting there again)

Sharpe/Sortino, as well as total contract turnover

Well, what exactly is the problem do you have with the methdology? Is it the basket contents (e.g. you drink more beer), is it the substitution/replacement aspect, do you think something is missing?

How long have you been trading VIX futures specifically and what are your strategy metrics?

Inflation-adjusted, median US household income grew from 66k in 1990 to 71k in 2022 (https://www.statista.com/statistics/200838/median-household-income-in-the-united-states/). In nominal dollars (i.e. unadjusted for inflation), the median income in 1994 was ~30k and is 74k in 2023...

Well, the problem with all of these approaches is wide tick size. At 5c bid/ask and daily vol is 50c, VIX futures are hard to turn around without paying an arm and a leg.

Dude, that's roughly (72/30) 2.4% inflation. That's perfectly fine cause your salary most certainly grew by more.

Actually, it's fairly easy to believe and you can see your position in the queue if you have an MBO feed (e.g. Databento or Rithmic). The reason for it is that it's a fairly common strategy for the HFT market makers to keep resting orders away from the touch. The idea is that if the price gets...

It's part of the market, of course, but it's hard to convince people to fund a trade with a highly asymmetrical payoff.

What percent of your trading is volatility ETFs? Most backers really dislike vol traders, for obvious reasons.

You can take a directional trading approach or some sort of MM-like approach were you just buy cheap after-hours vol and hedge delta intelligently. Personally, I'd lean towards the latter. It would make sense that most of your risk is operational, e.g. not getting the X notice in on time (BoA/M...

You're obviously are not managing money for a living. It's fucking hard. You have risk limits to deal with, you have a restrictive mandate, you can't just sit things out if you don't like the market. It's a massive responsibility, you can't just wing it like you do trading PA. I've been trading...

How so? The whole story was made up from A to Z - it might be a violation of journalist ethics (if there is such a thing) but it's near impossible to prove that it's fake. Even then, she came up with a personal story that the readers can relate to, that's her job as a writer for an online...

Well, that’s exactly my point that the backtest does not reflect the actual life in case of contingent orders

actually, after reading this I am convinced that she made it all up - but, as the Irish say, "never let the truth to get in the way of a good story"

Well, he could be pretty good and pick the right times/strikes/expirations to sell. He also could have just been lucky since it was a very bullish period for Apple.

Was the strategy live at the time? There were some pretty shaky closes that I remember and liquidity was pretty hard to find

How often do you get stopped out? The stop fills will really matter when the shit hits the fan and we have not had a true meltdown for a while

I am just saying :) God (whichever one is your favourite - since we are both MoTs our preference is the same there) is likely to be a scam and yet billions of people fall for it. Every president that I remember was a scammer (in the most obvious sense of that word), yet millions of people are...

Well, do you believe in God? (For example)