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Even the where are they know thread is going sideways already, and people wonder why a lot of these older experienced folks don't post much, classic ET in a nutshell (or thread as it were) :D

Nice to see there are some good old timers still around lurking :cool:

If you think it is unnatural, why not simply short into it? (I say this tongue-in-cheek as sometimes over the Internet these things could be misinterpreted). Enforcement is a sticky wicket. You can't catch everyone and even if you could it would become very unpopular for you to do so...

Maybe try this on for size for something "simple". 1. When volatility for an index hits a 52 week high and things are dropping badly, wait until volatility comes back down to the rolling annual average (let's just call it 200 day sma for simplicity) and once it touches that average: BUY BUY...

My (probably worthless) opinion is: Become obsessed with understanding what might break this edge you've found, how to detect it is breaking, and when (not if) it breaks (even if just temporarily), what is going to happen to you at X size when it breaks in a catastrophic way. Then...

Cheers and all the best. It is better to focus on the big cheese, but sometimes it makes sense to take a little detour (these often generate losses, preferably tiny ones...) if for no other reason than perspective/clarity or to learn something new :cool:

I don't understand how someone who is talking about maintaining Sharpe > 4+ is coming to us asking what they should do in terms of risk management/position sizing in what is frankly a minor "blip" in terms of market volatility. 2008 makes this pullback look like a gentle pat on the head. Were...

Determining supply over extended periods of time is fairly straightforward, as you can get what the outstanding # of shares is for a particular stock (and of course you could roll this up for the whole market). Determining demand is the hard part. This is generally told to us by price action...

Nothing wild on the home front here at the moment, just a normal 3 bed / 3 bath here is south orange county (should sell it and buy the F40, and have some operating change left over lol). I'd love to get a second place in Europe in a south central location (French/Italian Riviera, Monaco...

In order of acquisition: 98 Ford Mustang GT (nearly stock) - 50,000 miles seat time 97 Dodge Viper GTS (basic power upgrades) - 40,000! miles of seat time 2004 Honda S2000 (nearly stock) - 60,000 miles of seat time 2007 BMW 335i (modded to hell) - 50,000 miles of seat time 2006 BMW M...

I'm not sure how you could have joined in 2005 and be posting this, did you just come back after a 7 year hiatus? You point out "average annual return" which means nothing, and no one with any ounce of credibility would market or hang their hat on such a statistic. The only thing that...

Thanks for the liquidity, next round is on me :D

Good thing it doesn't rain out here in SoCal much. You Seattle folks must be shittin bricks if you believe this stuff :D

I don't see any reason to stick around and find out. I had some money at a broker who clears through them and took it out last fall when the writing was on the wall. Then you see they had a major cluster with getting their 1099s out in a timely fashion, and probably full of errors. When it...

Yes the level of self-awareness you have can make a big impact on your life outside of trading. Fortunately I don't get migraines but I can get elevated stress levels/BP, anxiety attacks, etc from seemingly innocuous (to others) situations. I too took what now seems like an inordinate amount...

I've got grievances with how this market is behaving as well and I've been long since late Nov. I've watched as the majority of the rally is concentrated/driven by the heavily weighted members of the various indices. The breadth just hasn't been there. It is as if either everyone is just...

The p-value result shouldn't be 0 but it might be a really small number (and thus be showing 0 in excel or somesuch if not properly configured). Also keep in mind that the first page on that topic is talking about testing equity curves using a single rule. If you have a complete multi-rule...

I agree there are styles (and aspects of trading) where the (properly trained/experienced) human mind has major advantages over the computer. I think the optimal solution is to meet somewhere in the middle (essentially the computer/stats/systems/mm/risk management/etc are all "decision support...

First of all, I'm not sure what some people here are thinking saying automation doesn't work. It is almost like being told the Earth is flat. I would say you should simply ignore these people as they either don't know what they are talking about, or failed on the systems-side but found...

Over what time frame? Medallion over 12 years is supposed to be around 1.7 but I haven't actually run the numbers off of his report myself. Any guy with big assets breaking above a Sharpe of 1 for a decade is going to attract a horde of money, anyone doing 1.5+ over a decade is pretty much a...