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Sorry, I don't understand. What do such covenants typically look like? Thanks.

About as much as Stalin was a Capitalist. :D

A strategy where you put in more money if the strategy works is not necessarily a good idea. More often loses come sudden and unexpected. This catastrophic kind of risk is the real risk in trading (not some minor fluctuations). I.e. you be more worried about third moment (the tail events) of...

Not in the market today? Giant turnaround. I'm about flat with my overrides.

How do you know he is down in August? Yeah, well often highflyers come back to earth. I'm thinking of Peter Thiel and Victor Niederhoffer. Often, not always. Some elect few manage to outperform year after year.

Berkowitz likes it. Biggest position of his huge FAIRX fund. He lost quite a ton with this position though. http://www.cnbc.com/id/43343328/Fairholme_s_Berkowitz_Still_Bullish_on_Bank_of_America I like the idea of buying stuff that smarter than me analysts have bought for 2x the price, in...

Still alive? Has a very 2008-like feeling to it.. gosh

I experencied something similar, but I staid out the last 3 days, which saved me a good chunk of the inevitable drawdown. Question is, whether or not we are in crises mode, which can have unpredictable consequences. The last few days were already historic. A sustained downtrend like this occured...

Anyone using AD via API? Seems very buggy and not fully supported, unfortunately.

I was thinking about a stock like EW which went from 90 to 70 without any reversal. Strangely enough the news was very positive, but I suppose it was a technical reaction then. This happens from time to time - it seems there are periods where it happens more often than not. TS doesn't have a...

Rol, do you trade stocks which have released earnings? Quite a few of them fall throw the floor last week. Thanks.

What kind of daily returns and volatility is that? Looks pretty good to me, like a 2+ sharpe. In general it is best to have a basket of strategies especially if the PnL is cumulative. In investment 100$ is always bound to one asset. In short-term trading in many cases that 100$ can be used for...

I have looked at the backtest results and followed the discussion on what I would call the 'averaging problem'. After a lot of work in this area I have concluded that end-of-day tests of this type can be biased and in some cases completely unreliable. To keep matters simple say I have a MR...

What I mean with growing book value is the following. The investements of Berkshire such as KO, WFP, AXP are marked to marked. These public traded securities are worth roughly 80'000$ per A share. Say we value the other operating business at 10x pretax earnings as Tilson did, then the...

Hi, great thread. I have bought a very long-term position in BRKB. Is this a trading position for you? Book value is 1.1, which is the lowest of the last 10 years. The operating businesses are now around 50% of the value, therefore the premium to book should be actually growing not declining...

The only real alternative I see is Lime. IB doesn't offer the data feed for doing trading based on LevelII. Iowever if I don't do a million shares a month I can't go there. So I'm waiting until I can afford a professional data feed and hardware. Going to take a while.

Yes, I'm aware of the costs for 'real' HFT. I should have been more precise. With HFT I mean here something like 1000 trades a day or more, not sub-second trading.

Thanks for clarifying. What I mean is for example: for every stock in the S&P500: a) Request a quote for a stock (100ms) or receive a quote from a subscription (latency 50ms) (all quotes from the orderbook) b) Do a simple calculation based on the orderbook (10ms) c) submit an...

Anyone running Highfrequency strategies with the IB API? What throughput do you have? thanks.

Yeah, one could say that we are coming off historic lows in terms of valuation. In March 2009 AXP sold for 5 times earnings. The market is flat over 10 years. So everything is relative if you are talking about rate-of-changes. You need valuation measures for the context. Shiller's PE is a good...