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I don't think the paper explained that very well at all, but I certainly agree with you on this point. You better be clear as to the behavior that you're backtesting, so that you implement the strategy correctly real-time. Since we have no idea what software he's testing, we have no idea...

Well, there is still some debate as to whether stops themselves make sense. I don't see why anyone would take as dogma that it's simply fundamentally wrong to wait a bar before setting stops/targets. Especially if 10 years of back-testing results suggest it's a significantly better solution.

I looked at the first section of the paper. I don't understand the author's point. He claims that these backtesting tools skipped certain entries/exits by mistake... what if it wasn't a mistake, but rather design? Why is it fundamentally wrong to implement a strategy that doesn't set...

That's obviously one option (no pun intended). I wanted to know what the other options were, if I didn't want to pay the premium + extra commissions involved.

Hmm... so how is option exercise determined? Based on price of the future on last day of trade, or is it the "cash average"? What if the two differ from each other significantly? My real question is: how do I make sure I have a flat position before settlement? Or do I just need to make...

Hi, Someone help me get my head around this very basic fact: - last day of trade for lean hog V9 (future and option) is 10/14/09. - settlement for lean hog V9 is 10/16/09. So... what does that actually mean? Why is settlement *after* the last day of trade? What happens between...

Hi, I'm also Chinese, but based in the US. Do you know anything about the commodity markets in China? Is it open to foreign investors?

I'm glad I wasn't watching this one closely. Roller coaster ride would've made me sick to my stomach. Too bad I'm short vol going into the loooong weekend. It'll be interesting.

The smart thing to do would've been to close out the option positions.

You know what's ridiculous? Even if that's what settlement price is, if underlying moves significantly away from settlement price (and I mean... 2 hours is a long to wait)... Then wouldn't whoever is long the option just make a request in writing to exercise/not exercised based on the...

You and I are both getting old. Looks like we've had a similar discussion before: http://www.elitetrader.com/vb/showthread.php?threadid=165910 http://www.elitetrader.com/vb/showthread.php?s=&threadid=161413 Unfortunately, answer is still not clear. I just called up ICE, got...

What confuses the issue for me is, for the option specs, it says this: "Expiration Date 17:00 Eastern time on the last trading day. Automatic exercise at one tick or morein-the-money at expiration on last trading day." That manages to clarify absolutely nothing.

Hi guys, I'm a little confused by cocoa settlement. According to the ICE site, settlement of the underlying is at 11:50 EST. But of course the underlying trades all the way until 2 PM EST. So... my (short) cocoa OPTION positions... will they be exercised based on the price at 11:50 EST...

Thank you sir. Based on some of your past posts, I get the feeling you're up in the foothill/Tahoe area. I'm fortunate that I'm coming into this off of a successful career, and will have no complaints even if I just keep trading prop. I also have numerous contacts in the angel...

For that matter, it's well known the classic return distribution for a premium seller is a long series of small positive returns, punctuated by rare but catastrophic losses. This is why "traditional" option selling CTAs/strategies are so dangerous, and I personally would never invest in...

Well, that'd definitely be disappointing. I'd say the instruments I'm trading may be similar (options) to others "doing the same thing", but the strategy emphasizes volatility arbitrage rather than selling deep out-the-money puts/calls and praying lady luck is on my side. In fact, my...

Appreciate the insight! I think I'll have a pretty good explanation of why I don't want to share my specific positions (live). It's not necessarily an issue of reverse engineering the strategy, but more because it's an automated strategy, it potentially makes it possible for others to...

I've probably done 3000-5000 entirely automated (hands-off) trades through Ninja this year. I've used TDA, IB, ZenFire, Patsystems, and now Rithmic directly (new offering available from Vision Financial). First off, Ninja does have bugs. I have found a few backtesting bugs, and a few race...

Yes, but how do you calculate risk intraday? Look at distance from strike to the rapidly moving underlying? Not to suggest it's a hard calculation, but I'm not aware of anyone that does it on a real-time basis intraday. Every broker I've ever been with only gives prelim/intraday numbers...

Although I no longer trade with IB, I did for half a year, and did about a thousand option contracts. I also used portfolio margin. Generally speaking, I never saw any sort of insane behavior in margin requirements. I do believe, however, that whatever intraday margin number they report via...