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Of course I reinvest my profits, that's the beauty of compounding. Otherwise your returns will diminish if you count all the equity in your account. Backtested using actual end of day data. Assuming I buy / sell at end of day - which is what ive done live. Its worked fine. What do you mean...

No, live for real. From Nov 2011 on...

Oh yeah - Starting with $10,000.

Simple VIX trading system working off 4 simple factors. Live for last 6 months. Any good? Or just data mining? Includes commissions.

I would say too easy to get burned. Especially on a daily basis when anything can happen (when they can end far apart). If something like TVIX does happen again, and you have a large coffer, start playing the arb play with small amounts (using the other ETF as the IV), and add to it as it...

Yeah, but there was no telling how far from IV it would go, or how long it would take. Those who saw a 5% arb play at first would have gotten burned hard for a while.

If you have lost money year after year on trading, why not do the opposite of what your strategy says? Like George Costanza - do the opposite. I would think this would work unless you have a high batting average with the losers just completely knocking you out. In that case you would lose...

I have alot of experience with these. I would tell you that on days when they are moving alot (>5%) they will finish the day far from the direct inverse, as in one is +8% while one is -6.5%. Even on boring days it is rare to see them line up exactly. I wouldn't touch it with a ten foot pole...

Yeah but I need their friends and family account set up. Trading for some family. So far the experience has not been easy. I'm terrified what will happen when I finally put in a trade.

Thanks for that heads up. I'll inquier since I only need a handful of quotes.

Am I missing something? They make you PAY for live quotes for simple equities on the NYSE? $127.25 a month? I mean, even basic sites like scottrade give you live quotes for just having an account. Hell, even yahoo and google finance have live quotes (maybe delayed a minute or so max). Am I...

hiyoooooo :)

Thanks to abattia for understanding the question I was asking and being helpful...

The numbers in question had less to do with what I was talking about & I wanted to keep the real ones to myself for proprietary reasons. I was more focusing on the fact that there was an obvious pattern and wondered what you would call the trading strategy if you went long or short the...

Let me clarify, the .03 ranges were fake. The actual ranges are smaller in the middle and larger at the ends - a more normal distribution. I chose not to have the actual ranges and numbers on the uploaded graphs to keep what I am doing more confidential. Thanks.

Its basically the second. Buy at end of day and hold until reverse signal obtained. Could be a day or a month. These are called "swing" strategies?

Nah. I know what Stat arb is and this is not it. No arb here. No pairs. No short term mean reversion.

I've enclosed a chart which holds one of the several keys to my investment strategy. This is based off of about 2,000 days of observations. The prior day's value of a certain statistic is on the x-axis. The return of the security on the following day (day after statistic is taken) is on the...

When presenting a quantitative strategy to fellow colleagues, your boss, or other sophisticated investors who need details, does anyone know of a blueprint to follow? Obviously I'll start on a background of the instruments & market traded, methods used for devising the system, as well as...

Actually IB has a pretty simple set up - and I finally found a form that lets you choose when/how you want fees taken out. Not sure on the $$$ limit of the account, but I know you can have 15 friends and family accounts under one master without registering with the SEC.