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Right now I'm trying to implement a different version of that of only buying during significant sell-offs and the VIX at more than 20. That is a bit more extreme version of the Buffett strategy but I think it fits the valuation/macro picture. You risk having a market run away without you but the...

http://www.wsj.com/articles/the-big-mistake-investors-make-when-buying-and-selling-funds-1459735510 Investors hurt their returns by buying highs and selling nows. People like Buffett tend to implement a different strategy of "buying more in days when stocks are going down a lot" Effectively...

http://www.wsj.com/articles/clients-pull-cash-from-valeant-investor-get-stock-instead-1460131047 This just sounds wrong

I'm not saying one should plug in a backtested reward to risk figure into a kelly/optimal F type formula. They should probably use stressed figures just in case. And if the trader is wrong about the stressed figures (to the downside), then he is probably a losing trader anyway and no position...

The problem with sizing to the worst case losing streak without taking into account the profit factor (as it is the case when you only consider the loss chance probability) is that, I believe, it will underperform a position sizing strategy that takes into account that factor. As a result, you...

In light of the many recent news I'm removing my VRX hedge. It was small and the potential for a big rise on the stock has increased a fair amount

As far as negative rates go, I simply don't think there is barely any chance of that this year. Recession or not recession. From everything I have read about the Fed, its simply nothing they are excited about. They didn't do it when the economy was in far worse shape, they wouldn't do it now...

If you consider the upside resistance of SPX at 2100, then, if you are bull is just seems a much better bet to short the front end (whether through Fed futures or bonds) than to be long stocks. Especially given how much they have run, I'm sure the technical quants must be calling for a pullback...

The last two tightening cycles the Fed pushed rates up by ~300bps in the first year after the first hike. This cycle might be special but it just baffles by that the market is pricing in around ~20bps for the first year after the first hike Maybe there is some probability of a recession with...

http://gluskinsheff.com/Assets/Documents/Musings and Special Reports/Breakfast_with_Dave_2016_04_04_Free_SocialMedia.pdf Good piece by Rosenberg I believe it makes sense now to be short Jan 2017 Fed futures (which is a bit like being long equities) but hedging that by being long SPX volatility...

This illiquidity doesn't seem to be a big deal because most of Pershing's positions are already iliquid in the sense that they can't be sold in a hurry. They use block trades with investment banks to get out of them anyway, so doing in the options side, I don't see much difference. But the extra...

The downside, that I can tell, is that the options contract is not publicly traded (I believe it was created in contact with the company). So it turns a liquid investment into a illiquid one. But it does increase unincumbered cash and its quite possible that the company (or a prime broker) could...

I never really thought about using this type of leverage before but its an interesting method especially for non-US investors (like me and his fund, which is registered in Guersey).Since the dividend will be subject to the 30% US tax withholding, a lot of it will be wasted in that tax. By using...

I find it interesting that he talked about how they sold APD and bought deep ITM calls ($65 strikes) on that stock. The net effect was they freed up cash and effectively financed the exposure to the stock at a 4% rate (already taking into account the dividend). Its a form of leverage that is not...

Ackman didn't take my question about collateral posting of the options trade. The IR said to me later that they can't disclose their agreements with their counterparties

Is this really a big deal? For the system to lose that much it will be a pretty rare event. extra trading costs weigthed the probability seems to be a minor factor

I'm not sure how off one's assumptions have to be for a 1/2 kelly/optimal F size to generate the drawdowns of the full kelly amount. I believe they have to be large. And if the person is making those large errors, isn't it likely he is a losing trader and hence no position sizing can save him...

Its a variation of the Optimal F that takes into account max tolerable drawdown http://signaltradinggroup.com/wp-content/DCSArticles/Securef.pdf

That's the idea of sizing to the max drawdown thing. If your assumptions are off, depending how frequent the system trades, it still might take a long time to produce the 99% drawdown that hits the max drawdown level. So from that perspective, its conservative. Not only you have to be off by a...

What are your thoghts on the Secure F?