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I went through the basic education for doing this (MBA,CFA) and would not recommend "pure" fundamental analysis for trading. I'm not saying its not worth learning for some other reason but I would not have high expectations for using it to trade. If you go through the basics of creating a...

Thanks for the reply. I tried an overnight PM before and they asked a whole bunch of questions and in the end said try back when the US is open. But I guess I will start a trouble ticket if it doesn't fix itself soon.

Is anybody seeing wierd margins on es options on IB? I am short a few OTM calls and the margins are about 140% of the margins on the es. I am not set up to calculate span margin, but I am pretty sure it can't be higher than the underlying! I know I should contact them but I have had bad...

Look up the different variations on GARCH models. The basic idea is that there is a long run volatility and current vol decays towards long term vol. You use a regression to get the parameters. I think you could do this in excel.

Does anybody have a prediction from a GARCH model or anything similar handy to share?

I think you would want to run this test on entries from your specific strategy instead of random entries. The reason you take trades from a system is that you believe the market is different after your entry signal than at other times - you think the expected return is higher than normal when...

If I understand what you mean I think you can change the numbers in the example I gave you earlier and figure this out.

If you don't mind me asking, what do you expect to get out of this? Are you looking for a baseline favorite stop strategy to test different entries/exits against? Are you looking for a way to test deviations in the probablity of a stop being hit from what you would expect from normality or...

Cool, if we just make the dollar fall in value faster than stocks then we can stay in a bull market forever.

These are managment decisions that probably vary a lot across funds. I think these timing differences just transfer money from the old investors to the new and vice versa. Probably too small too get too worked up about most of the time, just noise compared to their overall volatility -...

I don't think you're getting it right. It works something like this: 1) Fund starts the day with the portfolio that was there at the end of yesterday, say $90M stocks + $5M cash. Say there were 10M shares outstanding yesterday, each share is worth $9.50. 2) Investors send more cash during...

that can't be the story if US is up too, can it?

The fund does not make money off the investors this way, the investors own all the securities in the fund. But some "investors" used to make money off others this way. In the late trading scandal a few years ago funds were caught allowing favored hedgd funds to trade after the end of the...

Most funds are not fully invested though - they try to hold some cash to meet redemptions. If they have to sell illiquid securitied every time money flows out of the fund they can lose money both from the sale price and from having to mark down their remaining holdings. I also think they...

I'm not saying you are wrong but I don't understand how this can happen. The govt bond market is deep and hard to manipulate, not like an indidvidual stock. I am sure it takes billions of $ just to move the 10 yr rate by a basis point or two. How could long term rates be manipulated up...

Valueline has a product with historical fundamental data, I think it is called investment analyzer. Not as good as compustat but much cheaper. There is an old thread somewhere where we talked about this several months ago, you might want to search for it and see what we came up with there.

Good points. Maybe they just make up the returns and use new investor money to pay redemptions :) Seriously I don't know what a reasonable ballpark price for an expiration day straddle is or how much an aggressive fund could leverage it up. If you guys do please share. 100% per year does...

Since he's not answering I'll take a guess, tell me if this sounds right ... The options are overpriced b/c shorts want to get out and there is no liquidity. So you are getting more time premium than you should according to a reasonable model. If this is true you would make money on average...

Thanks for the data source. Your right, it does look like a huge task. I'm adding it to the todo list but I probably won't get to it tonight, let me know if you do first!

nonprophet, thanks for the reply and the link. The manipulation explanation makes sense. Another explanation I didn't consider was that mm's are more likely to delta hedge than others ( they are trying to lock in bid-ask profits and also are likely to be fired for a big short gamma loss)...