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Chuck Norris Facts

Even for the aware, it is still easy to fall victim to curve fitting. I now go considerably out of my way to avoid it. The first thing to do is divide the historical data into two non-contiguous parts. On one set you experiment (train) with your rules to find something worth validating. Then...

Thank you. Can you tell I'm an engineer? :eek:

21 JAN 2010 Trading Plan Opportunity - Takeoffs are optional Column: IC Spread #61 is unpaired. Opportunity to form an Iron Condor. Column: Spread P/L Roll opportunities: Spread #65 Jeopardy - Landings are mandatory Column: Probability of Touching No cautions. No warnings...

And your advice is...?

It's really not our standards that are important. It is his investor's standards. It is appropriate to suggest ways he could do better. I am uncomfortable suggesting he should throw in the towel.

My preference is for a metric that incorporates volatility.

I covered this in the post at the top of page 20. If PoT is less than 10% (7% for those more cautions) I will let it expire. I make this decision between 30 and 45 minutes before trading closes. If the day starts out with PoT near my limit I will watch throughout the day. If the overnight...

Ask me a specific question.

I am unpersuaded by your analysis on several key points.Credit Spreads are directional plays but Iron Condors are not. Since nearly all spreads are paired shortly after they are entered we are in a non-directional environment. I prefer a non-directional posture because I don't think I'm good at...

Recheck this mornings trading plan. Under PoT I discuss today's landing. The first post on page 20 covers takeoffs in theory. As soon as quarantined funds are released we will do takeoffs in practice. After we get takeoffs under our belt I will post the risk analysis discussion which includes...

20 JAN 2010 Trading Plan Opportunity - Takeoffs are optional Column: IC Spread #61 is unpaired. Opportunity to form an Iron Condor. Column: Spread P/L No roll opportunities Jeopardy - Landings are mandatory Column: Probability of Touching All spreads expiring tomorrow show less...

Forgot to mention. I'm in Canton.

Anyone for a get together?

falconview, You have successfully resurrected an idea I had in late summer but did not test. That is, rather than waiting to bail out on a spread once it reached 20% loss, to use PoT and roll the losing side. You have made it so much clearer that this avenue should be pursued with some...

19 JAN 2010 Trading Plan Opportunity - Takeoffs are optional Column: IC Spread #61 is unpaired. Opportunity to form an Iron Condor. Column: Spread P/L Spreads #69, #59, and #61 at more than 80% of capped profit. Opportunity to roll. Jeopardy - Landings are mandatory Column...

Thank you for some wise counsel. Aug & Sep VIX was > 20 and my returns were the smallest for those two months. There were some additional circumstances, but it is an important caution, none the less. Back-testing has loads of limitations, only some of which can be accounted for. One of the...

Back-testing For heavy duty back testing I wrote a PHP application that runs on my workstation and on the server that hosts my web sites. I have a very elaborate procedure to avoid "curve fitting" during the search for a strategy worthy of downstream evaluation. The key issue is the source...

18 JAN 2011 Trading Summary A roll was executed within Iron Condor #22 by closing PUT spread #58 and opening PUT spread #79 which is closer to the NDX price. Notice that the PoT at the close of trading today of spread #79 is 16% and I received a credit of $2.00 which will provide a capped...

First post on page 20. Same as initial spread.