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What's with the attitude? You just ruined my image of you - before I pictured you raking in the bills intraday all day long when I saw your posts, now I can only imagine you yelling down the hall "Mom, someone is being impulsive and thoughtless on the internet again!". But I will try to be...

I don't understand why this is a problem. Why should a system that switches between 10 strats and periodically rebalances system 1 back to 10% of trading capital all the time have higher costs that one that rebalances to 13.78% one time and 4.62% another time? Am I missing something? We...

Bar - if you are still around can you elaborate on this a bit? I followed the flash trading issue from a distance (I have not involved in equities much and never at high frequency), and my impression is that they serve a useful purpose and the side effects are not that bad. I am interested to...

Yes, you are basically optimizing on sampling errors. Sjfan is right about Black-Litterman. Here are other suggestions: 1) Google Bayesian shrinkage and geek out. Fully define your beliefs and assumed uncertainties and solve away. 2) Skip the theory and take a shortcut. Get weights...

I'll throw one out, I have way more half-baked ideas than time to follow through on, maybe somebody can tell me if this sounds promising. When you write the formula for the theoretical value of the spread, one of the components is the convenience yield. This is sort of like implied vol in an...

So what would happen if the stock price goes up too high?

There are many variations of these, but some generalizations: 1) The purpose of these structures is to pool all payments (not just interest) and then divide them among classes by a set of rules that vary by structure. The rules are called something like a cash flow waterfall. So a dedicated...

There's a good (old) series of research articles on understanding the yield curve from Salomon brothers that is very good. I don't have them handy but here's a link to the first one, maybe you can find the rest online somewhere...

If you are a Matlab user try this: http://www.trade-strategy.com/index.php?project=Earnings It didn't run for me but it looks like something to start with. I am going to try to fix it one of these days.

Assuming your timeframe is compatible, I would look at the CFTC's COTS report. Google COTS trading systems for specific ideas, but you basically look to piggy back on or fade certain categories of traders.

Don't kill this guy's dream. I'm sure there is money to be made playing music to rich people's pets. And the animals probably won't complain too much about a few songs about trading.

Austin Powers flashback

I did but don't have everything saved. From what I remember it looked like it was not impressive as a stand-alone strategy but helped alot in a multi-factor monthly return model. I did find a spreadsheet that has the monthly volatilities of a payoff to the cash factor - 196 bps on the raw...

Fair points, and there's more that you left out. A company's cash holdings are a function of its cash generating power, its financing policy, and its investment needs/larks. To do a really good job you should consider all these things. But I didn't go into detail in my first post. I did...

I did some research on this once. I sorted practically all stocks by cash as a % of assets every year for about 20 years. A portfolio of the highest 10% outperformed the bottom 10% by around 40 bps per month. I think what nazzdack said is true and might be the most important factors for...

I used to work as an analyst for a firm that delta-hedged and occasionally ended up with unplanned short ATM straddles on or near expiration day. No delta, lots of negative gamma = scared delta hedger willing to overpay to get out. Some big price insensitive trades happened, and I think...

I think the value of generic economics is debatable for a trader (not the worst thing you could study though) but econometrics is incredibly useful.

Whichever I thought was more achievable. Of course it is the portfolio performance you care most about. But with all the uncertainty around your inputs you can do a lot of work for little or no gain. Whether optimizing the individual strategies much is worthwhile I don't have a strong...

This approach is correct in theory but the big problem is that you don't have the true mean, vol, and correlations, you only have estimates from your sample. Then when you optimize, you end up optimizing on the errors more than the true properties. There are strategies used by quant funds to...

Hi Talon, Great thread, probably the best I have seen on ET. I am sad to see the sisboom mess. I'd like to ask one more favor if you haven't signed off for good yet- can you post a little more about the es failed midday breakout you mentioned a while back? I am interested in testing...