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Credit Suisse announces XIV liquidation ... gone, bye bye: https://www.marketwatch.com/story/credit-suisse-announces-plan-to-liquidate-xiv-inverse-volatility-etn-2018-02-06

OK, thanks for the links to the slides. Will watch them this weekend ... didn't know they were available.

Hi Rob, Was just looking at the slides. I didn't have questions about all the points just the meaning of the red line strike through and #6 whether, as it wasn't red lined, that it was described in the rest of the slides as I wasn't sure. I would think that #5 is an interesting and relevant...

Thanks Rob - next question(s). On one of the slides you listed the following questions where all but #6 had a red line through them. What period of time do trends last for? When should we enter trends? When should we exit trends? Should we have a stop loss rule? What is it? How do we identify...

Hello Rob, My first question regarding your presentation "Trading Strategies That Are Designed Not Fitted": At a high level is the gist of the strategy you presented that it's a trend following strategy where the trend is defined by the slope of a regression line of a certain window_size where...

FYI to all - interview with Chip Kenyon: http://erdmiertrading.blogspot.com/2014/05/chip-kenyon.html

Hello Rob, I saw a presentation you gave at Quantcon (I believe) where you discussed system building and created an example of a trend-following system that used regression slope as the determinant of trend. I have several questions re your presentation that I'd like to ask you. What's the best...

Mav, for my education, and I assume many others, I'd sure like to hear an exposition from you on what prop shops do.

Hi Mav, I have a really good friend who is considering either an MBA or Masters in Econ though leaning towards econ and isn't sure where he wants to go. His interest is in trading/asset mgt. How did you select the school you went to? What were you looking for that made it stand out over the...

I concur. The ease with by which people toss away marriages and get divorced makes my parents (in their 70s) shake their heads.

Mav, I'd like to explore the concept you described of the curve, represented by the tradeable spread, being in contango. Apologies for being kinda of a pain regarding this subject but it's not quite clear to me yet and I need to ask questions in a manner that makes sense to me. I realize that I...

No purpose at all other than just curious. If you can use the term in relation to a calendar just wondered, for no particular reason, if it also applied to other spread constructs like a fly or condor.

Bone, I agree that the analysis you suggested earlier would be interesting and likely quite valuable and certainly worthy of it's own thread (which I'll probably start). But, it has nothing to do with the question I asked and that both you and Mav responded to. Mav said that a futures calendar...

When you say "Natty is usually backwardated in the winter and in contango in the summer" does not pertain to a particular contract at a particular point in time? For example might it be possible that NGV17 is in contango today and NGZ17 is in backwardation today based on the relationship between...

What is the "abstract construct" in this context?. Contango and backwardation are not abstract constructs rather they have a precise calculable definition when relating the spot to a futures price. Mav put forth the precise, 100% objective, definition of a calendar spread being in backwardation...

Back to my question. With a calendar, at any point in time, I can determine based on the relationship between the two component contracts, whether the spread is in contango or backwardation. If Leg2 > Leg1 then contango (given Leg 1 is front month), etc. With a fly the formula is (Leg1 - (2 *...

Ok, with a calendar spread of Leg1 - Leg2 where Leg1 is nearest month then the definition of backwardation and contango you stated makes perfect sense. If a fly is (Leg1 - (2 * Leg2) + Leg3) then which term(s) are used to compare against one another using the greater-than or less-than...

Thanks Mav ... the near month is, in effect, the spot month in the traditional definition backwardation and contango. This example is for calendar spreads. Does the concept apply for butterflys and condors? I'd think not.

Mav - when you say, for example, that GH is backwardated right now what do you mean? As GH is a spread it therefore has multiple legs so does saying that GH is backwardated mean that a) both G and H are in backwardation b) one of them is or c) something else? It just, at least to me, doesn't...

Not true that there are no objective means of drawing TLs. For example Tom Demark has 100% objective rules for drawing them as can be seen in software that display his indicators. I understand regression lines and also that there are 100% objective ways of drawing TLs. The point of the post was...