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I am confused by this: "But surely if I sustain these results for 5 or 7 years, then raising several mil should be no problem? " Assume you have 1/2 million of capital now. Let us the lower the performance to "only" 50% a year. If you can sustain this level of return for 5-7 years, you...

I feel Sharpe should be a byproduct of your trading and not a goal. You goal is always to grow your acct bal quickly while doing it comfortably. To me, the Sharpe ratio is a result of a combination of BP constraint by the broker and psychological limit on how much losses I can take before...

you are trading. nothing is really cointegrated end of day unless they are same underlying with different leverage built in. forget all the academic cointegration test. it gives you a false sense of security if the test cannot reject cointegration. it is mostly lack of power or lack data in...

not a bad week. still waiting for more volatility in the mkt. +17k njrookie

aapl has a linear single name future contract i believe.

the chance is not good. it is too early. 3 point apr/may spread is still historical norm. you are betting this to widen.

Rodney King, I am simply stating a fact. I am not concerned about margin. njrookie

I am trying to say if the ratio is not 1:1, it counts for more margin. A native 1:1 CFE ratio only costs $600 or $800 if in the same 3 front month. A stand-alone, non-matched VIX future contract takes $7500 of margin.

the ratio spread has margin implications.

spy put hedge needs to be adjusted as response of vix to spx movement changes/accelerates as vix futures get closer to maturity.

5k week still cannot a good read of the mkt.

what about a calender ratio spread on spx to add convexity?

It is more like selling a strangle, I think, not buying.

what about hedging it by selling upside spy calls?

I think the ETP hedging might help to steepen the curve.

a short term rate makes more sense. if you are targeting only 20% in order to keep a high sharpe and low dd, it does not help your long term account equity growth.

I would be VERY happy with a sharpe of 3, a max DD of 10% and a realized return of 50% by the end of the year. You can get a sharpe of 100, and a max dd of 0% by putting all your money in a money mkt account that pays a couple of basis point above fed fund rates, and end with a grand return...

down 4500. never quite recovered from the losses from Tuesday.

it does not scan or copy. i suggest that you get a cheap / separate fax/scanner for that for less than $100.

I really like my OKIDATA C5800L 1. double-side 2. color/laser 3. network ready (hook it up to the router and you can print anywhere in the house) 4. around $500, not too expensive 5. non-branded toner $100 for a set of 4 (5000 pages) If it is not heavy duty printing, it is plenty of...