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covered these 2 shorts at 1670 at breakeven. So total booked PL = 15 points and 3 shorts from 1667.5

I do not remember reading anything from Tsay and Stambaugh - just shows there is so much there that I never got a chance to explore. Curious - You don't think Andrew Lo's work is practically helpful?

Kevin, I would be very interested in that reply. Thanks a lot!

personally I never used it.

This journal is an experiment to swing trade global markets on a base of 30k paper money. Maximum DD allowed-70%. Target gain is 10x capital, that is 300k USD. Let us see how long it takes to convert 30k into 300k, swing trading global markets. Trade 1: Short 1 contract ES at 1675.

so are they announcing nfp tomorrow or not?

thats good for male traders but how will women traders feel this weekend? :D :D :cool:

So, I went thru the paper (that Kevin quoted) in a bit more detail. From an applications point of view, I have come to following conclusion: This paper will prove useful to risk manage or construct superior equity-equity options-index-index options portfolios (basically portfolios with convex...

Whoaaaaa!! Will Obama ban guns now????

out of these 3 at 1671 for 5*3 = 15 points booked profit. still have other 5 short contracts on. So, my current position is as follows: 1) 2 more shorts at 1670. 2) 3 shorts from 1667.5

Classic I bow before you Sir! When where these days and which stocks/indices/currencies lead to your biggest winner and biggest loser. Also if you can tell, your best month and worst month PL and when they happened?

just want to clarify that my opinion for a target of 50-55 was not based on chart. I have seen a lot of downmoves and they tend to get extended becasuse people worry more when equity markets fall compared to when equity markets rise....that was all the reason for my opinion. LF - I hope my...

Thanks trickshot :)

what is the news?

you asked for opinions and that was my opinion :) now it seems I have been so wrong , markets make all of us humble real quick :)

short 3 more at 1676 bidding these 3 at 1671

adding 2 more shorts at 1670. So total of 5 cars short now, 3 originally from 1667.5

short 1667.5, 3 cars

between 1650-1655.

Thank You Kevin! Never knew that Cornell library is freely available online!! Going through the paper seems like a lot of work and then implementing it also seems like a lot of work :) You found it very useful in your trading - if yes, in what way? Did it improve your sharpe, lead to more...