Search results

Sorry about not clarifying that... it's a term from academic literature mostly that means "returns in excess of (over) the market". For instance, if I buy a stock that goes up 5% and the S&P goes up 3%, that stock had a 2% excess return. Note that a stock can even go down and have a positive...

thank you. but it's not about hedging... it's about excess returns... so you have to offset with the market.

Making consistent sizable returns daytrading S&P futures is a lot harder than you think... in fact it might be the hardest game in town... but for some reason it's what 90% of internet forum readers want to do. maybe it's partially about being a badass ("I'm an S&P trader")... but it's much...

Keep in mind that I don't actually know that's the explanation... that's my best guess. If it's correct the reason could be that the finds have to 1) have the change done by the effective date and 2) minimize price impact and 3) move even more money than you might imagine. the end result of...

And one last post at the end of a long day... Here's why mr bwolinksy irritated me... i suggested googling "s&p 500 index additions deletions" without really knowing what it would pull up and this pompous ass replied as you can see below. However... today I googled that exact phrase and...

A completely different question is monitoring an existing system to make sure it still works. How do you tell a normal drawdown from something that needs your attention? things do change and systems do stop working. We maintain a lot of stats on our systems... a slight oversimplification...

we don't put a lot of weight on monte carlo... it's overused by math geeks and engineers in my opinion. in this case, if i'm sizing a system with each trade risking a % of account size, the equity curve is extremely path dependent. meaning if i have large losses at the beginning vs large...

it is me belief that you can't do this on a shoestring, contrary to what a lot of internet posters would have you believe. I think anyone who thinks they are going to learn to trade and has less than $10K available.. first go to vegas and put it on red a few times... your odds are better...

I got some very supportive notes and posts here. Thank you for those. I don't feel we made great headway in the discussion re why it should work. We won't ever know the real reason, but to me there is a clear explanation. There are MANY funds that must hold the S&P 500 or are only allowed...

huh?

fixed income = snooze forex... hmm not sure. i used to trade the IMM futures a bit but I think just so busy with other things. all of our trades are tied into forex in one way or another so it would introduce correlations i'd have to really think about... would rather not deal with it...

you know... no one is possibly more cynical than i am so i do understand what you're saying. if i was selling something or asking for students or something then you have a point. however in this case i would think the appropriate course of action would be for the forum to read with an open...

not sure where to start here... i guess i should have expected the kind of response this thread was greeted with but it came as a little surprise. let's talk in general about how i look at trading ideas before we did into the specifics of this one. that will give bwolinsky time to absorb and...

Let me preface this post with a disclaimer... I'm a real ass... Confident to the point of arrogance... confrontation and aggressive to the extreme. So accept my apologies in advance. And let me tell you spinn... you're sounding like an idiot. Do a little reading and research here and i can...

wrong on many counts.... wrong in general and wrong on specifics as it applies to this system. i was sitting at dinner with some trader friends and someone threw out the question "why should we make money?" i mean... think about it... are we smarter than anyone else in the market? no. do...

There are many gaps in my thinking, but I assure you that issues of correlation vs causation and epistemology in general occupy a lot of my time... and in fact this thread was meant to address some of those issues. I don't need a statistics 101 lesson... and anyway you are mistaken. in our...

How do you so completely miss the point. Get a f*cking pencil and paper. Go back 5 years and find the adds and drops from the index... calculate the returns and see what the strategy would return. This system is only a starting point for the discussion... somehow you are missing the point...

Ok I'm going to take a minute to answer this in detail... and I'm not going to be careful to be incredibly polite so apologies in advance if I hurt your feelings Look. I trade full time and I do a lot of different kinds of trading. Stocks, futures, options... no forex or fixed income to...

ex post edit: It probably won't last lol. I have verified it already. Not my job to sell it to you but you're asking the right questions. 25 = trading days. The exact number is fairly unimportant. 20, 30, 15 probably... a calendar month... doesn't matter a lot.

First of all... I'm not making any calls or recommendations. Respectfully, you're missing the point I hope to make which is to teach people how to fish... how to think for themselves. I'll post a bibliography of sorts but you can also google I'm sure. Someone in the other thread found a...