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They should make every market trade by price is right rules (showcase showdowns included) - that would be fantastic.

Oh they can handle it with aplomb, IBs systems have developed a strong sense of confidence through learning algorithms, and handle auto-liquidations with unparalleled algo-poise. Seriously though, there aren't many brokers using exchange margins and if you feel their margins are unnecessary...

There's no way to tell with OHLC data, you need increased granularity through intraday data. Roughly, you'll find it's a pretty even split between profit/stop assuming you're trading on the first touch of a level.

Don't worry, I'm short way too much delta...we'll gap up Sunday. :D

Speaking of, it's that time of the year again. Aside from the basic accounting and finance knowledge - the CFA also has a way of making you appreciate Memorial Day wknd.:p If you're really concerned, do L1 and see how you feel about it, L2 is much heavier on accounting than L1.

I knew you'd say that!

I'm a backtest billionaire many times over:p

I agree, but that's not entirely true - he also had examples of turning a losing long call into a ratio so that it turns a marked loss into a BE trade at expiry (at the expense of upside risk)...and iirc other examples of salvaging losing positions. The marked p/l is irrelevant, a long call...

In hindsight, and with the knowledge of a backtest I would've stayed out of this conversation.

Of course, that's how it works - there are no guarantees. "You pays your money and you takes your chances". ...to a similar point. When you trade you have one of two choices (buy/sell). Does the person who buys with the knowledge and 'edge' of 175 years of backtesting have an advantage over...

IMO, yes, it provides a methodological framework for evaluation which can lead to insight. I will also say that reliance upon a 100% systematic approach which yields successful results implies finding a systematic edge upon which only you can execute on - this is where I think most fail. This...

Generally P/L is a pretty good indicator of whether a system is profitable or not.:p I don't think people are saying backtesting is bad, but it's equally closed minded to think it's the only way to go. IMO, backtesting is great for understanding market dynamics and what may have worked in...

You can get span with futures options which is like pm.

Is this what you're referring to? http://www.elitetrader.com/vb/showthread.php?t=208992 Seems like you got some legitimate input in 2010 on why that is - looks like the issue is discrepancies in attribution. Anything worth revisiting?

Q1 summary. Currently up ~13% ytd which breaks down to roughly... Jan: -.75% Feb: 7.8% March: 5.9% Correlation to SP is ~.40 and positive returns across the distribution except down moves greater than 1sd (I know). Daily stdev came down a good amount in feb/march partially because I...

This what you're referencing? I was going to post the attachment, but the file size is too large - this link should work though: http://www.scribd.com/doc/82441012/MS-VIX-Futs-Opts-Primer

Good point. This also adds to the difficulty of trefoil's other strategy to short vxx/short sp. We've had a frustrating amount of days where long sp delta outperforms short vol, the extra vol makes weighting these difficult imo.

...wasn't sure if it was 1p or 2p.:p

Up, up, down, down, left, right, left, right, B, A.

He definitely screwed some people:p