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How do you intend to differentiate between directional & non-directional volatility? Eric

I commented on the Conde Nest Article just now. http://www.portfolio.com/views/columns/wall-street/2008/09/18/Advocating-Tax-on-Stock-Trading#page3 What a mess this whole thing is!

I believe you are talking about tom basso from market wizards right???? I think the idea behind scaling out of positions that have too much volatility was to reduce the variability in returns (smooth out the equity curve). I think this concept would cut some winners short & reduce overall...

Unfortunately most people wouldnt know a good fill from a bad one, so they dont think this tax would impact them at all............ Does anyone have a list of the 16 people that are in support of this thing? If so, please post it so we can get in touch with them. I responded to my weekly...

On the bottom of this page - http://www.smartquant.com/products.php videos #5-8 should help. I'm surprised that nobody has set up a small business to correct this inefficiency. Sort of like a small scale OpenQuant consulting firm. I think there may be some room there for a customer...

Were you able to find the videos on their site on how to do this? I know they have videos on how to connect to different providers. I do not remember it being a problem for me, but I was connecting to OpenECry. I definitely agree with you that there is a big void in the market for...

If you can write software why not go with something like an OpenQuant or MarketCetera type platform on a hosted server? It sounds like you need the app to be written in a language that has better error handling capabilities and can be added onto later. I am working on something similar, and...

Write some naked puts to get into them & then sell calls against them Thats one that comes to mind. At least that would drop your break-even price on the entry.

Wayne - I too have done a lot of business process re-engineering & Best Practice Implementation work professionally. I previously worked for a firm that consulted to companies looking to reduce headcount in administrative & support functions (i.e. accounting, supply chain management, etc.). We...

I have read some of Andrew Lo's other papers.....they all seem to be a good read. Some interesting ideas/concepts are discussed in them. I searched around using the Google Scholar search engine for the papers. Who cares whether or not a grad student is involved in writing the paper???????? It...

TS - Are you looking for something like Esper? http://esper.codehaus.org/ Also, supposedly this is going to be hooked into the MarketCetera platform sometime soon. Also, here is another good link: http://puppetmastertrading.com/blog/2008/08/22/billions-and-billions/ Regards, Eric

Dr. Z - Did you think about selling them on a land contract? That may reduce your headaches in dealing with shorter term rentals & maintenance costs and so on. Before you make a move make sure you watch the bailiff in Roger & Me by Michael Moore. He was pretty good at getting people out of...

I think its a bit early yet, but the idea is very solid with the caveat being that the area you are looking in has positive population growth. I live in a northern suburb in Metro Detroit, and the educated people are leaving the area & the blue collar are being offered their same jobs for 50% of...

I am in a similar situation.......the thing that made the most sense to me was to find 3 or so CPAs that understand this type of tax law and see what they recommended. In the end after doing the math I did not form an LLC, but that may change if my situation changes in the upcoming future...

I highly doubt that posting general concepts about system development money management, position sizing, weighting between systems, pyramiding, etc. will give away ones edge. The only thing that may possibly get watered down by sharing it would be some obscure entry signal. There are so many...

I do not understand how outliers can be handled by money management & position sizing while not drastically undersizing the positions that would be a winner even if a relatively tight stop was used. Can you explain this? Regards, Eric

My first thought when I read this question was that it was very similar to asking 'Who the fastest horse is in the glue factory?'

Cutten - Interesting post, this concept is something I will look into further. Although the participants in the market may have changed considerably since the 70's when this occurred, this does not mean one could not use this idea to identify some strategies that fit into this picture. The...

OEC has a .net based API that would likely be a much better solution. If you are set on OEC and just want to run an already built system then there doesn't seem to be a lot of reasons to use OpenQuant. One of the main reasons I have OpenQuant is that its broker neutral & allows one to build a...

I have not yet used it on a live system, but have a copy of it that I am using in developing a system. There are a lot of threads on the positives & negatives of the product out there. I think it should do what you want it to do. Regards, Eric