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WolfVector - thank you for the reply. It's giving me hope that I'm not wasting my time with NN's. I know you're way ahead of me in the process but if your interested in discussing things further please feel free to PM me and I'll let you kow what I'm thinking about trying since I've taken us...

Hello WolfVector, I am currently looking into writing a neural network program for short term trades. I understand that you're keeping everything secret but I am curious about a couple of things if you don't mind sharing. I'm trying to get an idea of what I can expect as a reasonable goal...

If it's not too personal to ask, how could they bar you and why would they?

I thought they sold their GMAC arm - or at least most of it?

The bid/ask spread is very large on these. Is there any way to calculate how they are valued intraday compared to QQQQ? I see the NAV vs market posting but where did that value come from?

Thank you very much for that explanation - now it makes more sense because I was wondering why the divergence still existed when it's so blatantly waiting for someone to use it. So there's still a significant risk of another divergence then at some point and so it's not worth playing then probably.

Another interesting fund - thank you. One problem with those funds though is that if you trade a mutual fund too often they start to charge commissions - although I'm not sure if that includes position adjustments or not. I'm trying to think through some strategy that may involve...

Thanks - I didn't know that existed. An article about PSQ also mentions SH which is short the S&P 500 as well. I'm curious why you suggested in an IRA though? Do you mean just for trading purposes to avoid the short term gain/loss or is there another reason? Is PSQ shortable too? Do you...

Thanks, I'm asking because I noticed QQQQ and the ^IXIC tend to cross each other a lot in the last couple of years, although they diverged 5 years ago and never crossed. I was wondering if there was a way to play the divergence? The only NASDAQ futures I found were the Mini Nasdaq 100's...

Thanks in advance, MPO

Thanks for the comments. I agree that it's expensive, but I wasn't sure if it was better than rebalancing or not. If a market crashes across the board, then even when you rebalance all of your positions go down but if you have puts or are short opposite positions, you can lock in profit...

Not necessarily. For instance, one of the main things that got me thinking about this was my metals fund. At one point it was up over 50% (VGPMX) for the year. Now it's at 28% again (29.5). While funds don't have options, ETF's do so I was thinking about hedging the position with Dec06 40...

Right, but that's the worst case scenario. The question is whether the proposed strategy is better on average than just buy and hold given all scenarios. I'm also curious if it's better than a "universal portfolio" type strategy where you redistribute routinely - which sinks more into the...

This is slightly off request as this was just after-hours but the rest of the question applies. I was short a strangle on Google before the earnings. It was around 430 and I was short the 370-480 strangle because the premiums were insanely high. They came out over 20c short on their...

With all the ups and downs in the market it can be painful watching 20-30% gains being wiped out so I was thinking about how to lock in gains and thought about using puts. Thinking of this as a type of insurance, I looked up portfolio insurance and found that the insurance is usually bought...

"During the time I managed my own fund, I ran 6 uncorrelated systems. IF I would have divulged any information as to performance to the public (this was a private fund) I would have been fired. Period." Why? How does reporting performance without any information about markets traded or...

It's a little hard to trust your money to a company that can't spell fourth correctly: http://www.predictionlabs.com/papers/WPV1.1.pdf I got stuck on that - I guess I should look at the actual returns as well...

So in this case are they reducing the balance of capital based on the cost of the open trades or the value-at-risk of the open trades? Maybe that's where it's coming into play... Thanks for your replies, MPO

The other interesting thing to note BTW is that let's say we decided to use the Var/Covar method of VaR measurement or even the max drawdown to determine our core bankroll for this strategy (but we had as much leverage as needed to open positions). (The historical VaR in this case is the same...

Value at Risk example with above data: So if I'm using the Var-Covar and I understand it correctly, then I would expect my 99% confidence max drawdown to be: Max Drawdown (99% Confidence): 731 - 2.33*1,480 = -2,717 Is that correct? In my data 4.5% of the trades had losses greater...