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At $50MM and assuming a fee load of 1%, this ETF would only generate $500k in fees; That needs to be split with distributors (can be as high as 50%). Then, there are legal and administration expenses. Given the economics, who would want to buy this 'idea' off of you? It doesn't make anyone...

Why time sq? As a life long new Yorker, I'm very curiouswhy out of towners pick there? Its crowded, expensive, and entirely a tourist trap. Is it because its a place you hear most about? Just curious

And in a circle we go. Okay okay, I get it, you are just asking questions. I'm beginning to get the image that you are just a lonely old man wanting some company... some human contact. You don't care about the answers, you just want someone to reply to you - ET is like a nursing home...

Christ... we are talking about a biased coin toss (that you proposed)... again, you change the subject like a slippery flish. Your views are right if we are talking about trading. It's wrong if we are talking about a biased coin toss. Is this fair?

What are you talking about? Who am I? I think you are just really mad that it's clear you have no idea what you are talking about when it comes to technical subjects. So you resort to ad hominem attacks. Why don't you point out why I'm wrong? My statements are factual and emperical. Yours...

Hold on... we are talking about independent tosses right?... what does it matter if it 'trends' or not??? Or are you guy who bets large at the roulette wheel when a number becomes 'hot'? Am I to understand that you do?

Yeah... but it's so far just a normal nor' easter kind of thing; So far, it's not going to impact manhattan unless there's something unforseen.

Dude... having autocorrelation or serial dependence doesn't imply predictability - see ar(1) processes for example. Also, IBM stock prices at very short horizons (or any stock prices at tick level) IS indeed autocorrelated in the long run. Bid/offer effect at play. Again, you don't appear...

I currently live in the heart of darkness (wrong side of 39th street). Everything's going to be back to normal in a few weeks - we are getting power back tomorrow night (supposedly). Though, are you able to find any hotel? It's probably more opened up in a few weeks, but as of now...

ET is truely home of the ballers.

You don't understand... and you are unable to understand the math? Is that what you are staying? Just to be sure? FInally, if you notice, I too am talking about a freaking rigged coin toss.... you are the one keep pulling the conversation away. A rigged coin toss is still freaking independent...

Um.... hence, I said multiple horizons. Shorter time-frame == tick level - go ahead and run the autocorrelation between last traded price for IBM in the last 3 days... tell me what it is, because I see around ~70%. And, as you say, on the longer time frame as well. And no, survivorship...

Are you... joking? Almost all market prices exhibit autocorrelation at multiple time frames, especially as you decrease the time frame. Are you seriously suggesting this the SPX's price at 9:05 is generated from a process such that it's independent from the 9:10 price? Again, seriously?

Careful... this is only true if the game exhibits indepdence between plays. If it doesn't (like the market), then betting strategies will change the expectation.

You are just rambling now... you are the one who stated that you don't believe mathematicians because they disagree with your common sense. A biased toss coin is the simplest device of testing simple statistical hypothesis. You failed to understand even that. Now you are posting barely...

... we are talking about coin tosses, not trading, right? Are you shifting the subject because you realize that you can't really defend your position anymore? You specifically talked about a coin toss with 60% advantage. Not traders wondering if there's an edge upon seeing a 60% win rate...

So what? that probability doesn't change every time you toss a coin. There's an optimal amount you are supposed to bet everything time, unvaryingly. This is one of the easiest problem to solve in statistics beyond 101-level. Why do you think your 'common-sense' is better than an actual...

You are indeed the first person to ever think of this. Brilliant.

Doesn't help the OP though.... JH's method is more like the deconstructionists in comp lit departments.

You really can't - without taking on some other form of risk. If it were possible, then you can construct an arbitrage trade where you can capture the roll yield without being exposed to price risk.