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1. A dice is thrown showing heads and then another time showing heads. 2. A dice is thrown showing heads and then another time showing tails. 3. A dice is thrown showing tails and then another time showing tails. 4. A dice is thrown showing tails and then another time showing...

signed. (though GA is just on of the possible routes ...)

signed.

easy. if i can trust my eyes it is the fourth post above this one ... these things happen. take care.

you are right. i shot over the top ... in any case. stocks down by 50% and short term vol multiplied ... well that has to translate into loss on the longer horizon ...

BTW it is exactly this kind of thinking in derivatives that is at the very root of the crisis. OTC contracts that are not subject to margin calls by an exchange. enabling two parties to appear in proper shape while one of them is already hit big time. were that put exchange traded, they...

two things: MTM and volaspike. berkshire probably has to value each position in their balance sheet. they have to show the current evaluation of that option in their year end statement. at least i assume they have to. and that simply means they have to show 40-50 VIX percentage points...

same was true for selling such put at VIX 40 ... would have taken you out already too. this sounds very much like knowing after the fact. you cannot sell an implied vol of 70 for 10 years. that option is not available. if you get out that far in time you will probably sell a 20something...

interaction ended right here. my policy is not to talk to people who are offensive for no apparent reason. my goodness.

thinking long and hard about this one. i guess you are perfectly right: i am not a trader. funny, i have never seen it like that ... but i guess you nailed me.

well, i doubt it works like that. there is this thing MTM. if buffet dies today and berkshire is closed, then they have to close everything on the market, including that option. now unwinding this position is quite a costly endeavour. and the other guys might already have locked in that...

well. that is my point. i doubt that there is any opportunity out there with that kind of risk/return profile. i would be so suspicious about this kind of trade that i would not do it for that very reason: too good to be true. 1 out out of 10 such opportunities might be really that once...

i know. just fall over these holy grail threads once in a while and thought it is about time to state what i think about all of them ... i already half regret having started this one ... it is really a distraction ...

i do not distinguish between "mechanic" and "model", it is not static, if this is what you mean. but it is not a very black box either. it is supposed to deliver a sharpe around 2. for the time being trading EUR/USD only. want to see some data on slippage and generally see how it is doing.

(including this thread.)

grats. we are right now going to launch our first system on forex. we found that fx is special ... our other systems don't test well on these ...

you are trading systems or discretionary?

really? i doubt that random data is tradeable. no, actually i am very sure - in all respect - it is not.

1.) stop believing there is one. 2.) start digging. 3.) don't fool yourself. neither be too critical, nor too positive. 4.) get back to 2. after having spend years and years in this game, that is my conclusion. everything else is an illusion. this is a job that is tough and these four...

can't help it. the US are no free market and have never been. they protect big companies. against foreign competition by global political influence. they put subsidies in place on a regular basis in form of interest rate cuts when markets tank. in this respect the US is a "CEO socialism"...