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Wow. I thought we were making progress, but i am very disappointed with your replies. Maybe I actually have overestimated you and your capacity to handle these concepts. I will have to think about whether it's worth trying to continue this discussion or not... I have been at the office...

Ok, I found the time sooner than I thought so let me go on. System2 is a system developed by one of our trainees with less than a year's experience. Let me digress a little bit. I have had much better experience training people with no finance background to be successful traders. Why? I...

Sorry to have been ignoring this thread... I'll get to some of the questions here over the weekend. I got a little caught up posting on BoWo's thread (yeah I know...), but seriously I think we're having some constructive conversation over there... and some things that are relevant to this...

Ok thanks for your work Beau. Let me share a few thoughts and give you some background information on the systems. I have to tell you up front that I am a little limited in what I can say about a few of these because they trade some things that may not be super liquid. We have trouble...

Well... seriously though... getting a text file into excel is something worth learning to do. it is possible you have some non-standard settings selected on excel or something. you can also explore the text import wizard. didn't mean to be insulting but i dont know how you can claim to be...

1) Open the file in notepad. 2) Cntrl-A to select all 3) Cntrl-C to copy all 4) Go to Excel and open a new file (Cntrl-N btw) 5) Select the first cell (A1) only and press Cntrl-V Here endeth the lesson. What do they teach you in finance classes in Kentucky? Excel knowledge is also...

>You vastly overestimate the capabilities of someone that has yet to create a profitable trading system. Not true. There is no possible way I have overestimated your ability lol. >WL is also the only platform in existence with a portfolio level simulator advanced enough to not require...

Funny, I wrote nearly the same post and deleted it after I posted it because I figured if we were stuck on skewness and kurtosis, talking about stationarity and transforms was kind of pointless. This is the problem, the kid half learned some stuff in a few classes, has a mediocre retail...

>Cauchy is not something basic. Well... um... yes it is... I guess it depends on your perspective. >The adage that goes the simplest models work the best is a valid one. True... as simple as it can be without being any more simple is a better way to put it. You're making things a...

1) No one on the entire planet hates "Modern Portfolio Theory" (don't get me started... this is 1960's stuff... why is it still called Modern... geeze...) more than me. No one. My main issue is that asset or asset class returns cannot be predicated based on past performance nor can...

I gotta call you out on this one! :) The software you need is available free... you can download a great statistics package called R with tons of good documentation for free... you can also do a lot of good stuff with VBA in Excel. What it requires is some real dedication in learning to...

Oh... and the system you're going to do next is the good one... especially considering the source.

Ok no problem. FYI, this is not an options strategy though. It's a hedged stock strategy... in fact, I'll go ahead and let the cat out of the bag: This system is our actual return trading that S&P Add Delete strategy that I posted in that thread I started several weeks ago. Funny...

Ah.. I see. OP: Option A 1) Buy 1 90 Put 2) Sell 1 80 Put Both expire at the same time (the time you are targeting for your trade.) Option B 1) Buy 1 90 Put that expires 1.5 - 2 years from now. 2) Sell up to twice that many 90 Puts that expire sooner. When they expire, you may...

I don't understand this reply. Put spread - either calendar or vertical - is the right answer to the OP's question.

When you start going through old posts, please specifically respond to the items I highlighted in bold. This is disturbing coming from someone with a strong math background as it, frankly, is nonsense. 1. What is "lagging kurtosis"? This is not a meaningful term. 2. How do you generalize...

Congrats on your anniversary... have a good celebration. CFA level 1 is a good start... but you can walk out the door in this city and one of the first 10 people you see will have their full CFA. Half the resumes I get are CFA candidates and I would say 20% are full CFA's. So... I'm not...

I have two requests for this discussion. I would ask that you refrain from hyperbole in describing yourself. I realize this is your style... the kind of self-talk you do in the mirror that gets you going in the morning. I'm not denying the benefit of talking yourself up when you don't yet...

Sounds good. In the interest of not having to backtrack, please go back a few days and read the other posts I made to this journal. There are some issues raised there I think we need to address. Looking at those posts before you attempt the analyses will save us some time down the road...

You have a return series and that should be adequate for this discussion. Why do you "not accept my trade list at all"? I think it is enough to illustrate the point. Let me reiterate that these are actual returns from real money trades at size, net of all costs. What specifically are you...