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Interesting...So you're basically saying that the expectation of both option sellers and buyers is zero (sans transaction costs)? But doesn't this contradict the Black Scholes model? My understanding of the BSM is that basically option buyers can expect to pay (and option sellers can expect...

Hmm.. I had never thought of it from that perspective. My guess is that if you were to randomly sample a basket of Nas100 stocks you would end up with an annualized return in the area of the rate of inflation. And since inflation factors into interest rates, then I suppose it follows that...

Thanks for the reply, rosy. I think in the context of the scenarios I mentioned, the expiration is irrelevant, as the annualized return for any option seller of any price/expiration is more or less the same (assuming my understanding of the Black-Scholes formula is correct). In my...

Thanks for the reply, heech. Would the larger losses apply to the more thickly traded options as well? I'd assume that calls/puts in SPY/QQQQ/etc or AAPL/GOOG/etc would be pretty efficiently priced and any large premiums would be arbitraged away pretty rapidly. ie: If one were to...

Question for the option sages who inhabit this part of the ET forums: I've been researching options pricing the past few months and based on what I've gleaned from reading Natenberg, Sinclair, and others, it appears that an option buyer with no edge can over time expect to loose the...

I had a similar problem last week: The "Last" field on certain symbols was not updating, although the bid and ask were. This happened on two separate PCs, both running the same version of TWS. Both had the same problem. The only way I found to solve it was to restart TWS, but many times...

Agreed. But I think I personally lean more toward RAR, as the classic Sharpe assumes that all volatility is bad. Thus for example Sharpe will penalize systems that are more disbursed on the positive side than they are on the negative side, which is counter to what most trader's want (I don't...

MGJ, thanks a bunch for posting your results - much appreciated. Based on your tests at least, it appears the two metrics are correlated enough to be used interchangeably. And if that's the case, what's more interesting is that it supports the notion that higher trade Sharpe ratios implies...

Awesome post!

Unfortunately, you're looking in all the wrong places. Attached is the equity curve from a 10 year backtest of the system I'm currently trading live. Intraday, 100% out of sample, 90% positive months. Note its drawdown vs the benchmark (Nas100) drawdown. It is possible to make some...

Stupid Question: Are Sharpe (trade expectation/stddev) and RAR (return/maxDD) pretty much interchangeable as fitness metrics? ie: All things being equal does a higher Sharpe always guarantee a higher RAR and/or lower drawdowns? I think the answer is "yes", as conceptually at least they...

Apple II+ 48K w/3 Floppy Drives and an Microsoft CP/M card Great computer at the time (pre-IBM clone, pre-Mac). Reason for three floppies you ask? Drive #1 for source (6502 .ASM) files Drive #2 for header files (since they wouldn't all fit on Drive #1) Drive #3 for object code and...

My pleasure - hope its of some use. Best, jazz

If you haven't already, check out C2 (I'd post a link, but I'm not sure if it's allowed). There's a popular system on it called ETFTimer that does exactly what you're talking about, and all its trades are posted. It trades nothing but QLD/QID, alternating between the two and scaling in and...

In my experience, hard stops have always degraded performance, but of course YMMV. Try backtesting a system that uses stops and take a look at your trade histogram. What you'll generally see is a bell curve (well, almost) that has its left tail cut off. So you've definitely clamped your...

I currently use IQFeed (~$60/mo), but used Reuters (~$30/mo) in the past. Reuters is EOD only and is mainly stock driven. Both have huge EOD histories, but IQFeed offers about 4 years of 1min intraday histories of stocks/futures/forex, plus 30days of tick data. Both services have APIs, so you...

Yeah, I have to admit I was concerned that perhaps I've been a bit too candid (the views/posts ratio of this thread is pretty high, so there are apparently lots of folks looking over our shoulders). But its good Karma to give something back from time to time. My hope is that some other traders...

Its actually really great to hear another strategy trader confirm similar findings and experiences. I hear a lot about Kelly around here, but I've yet to find a way to integrate it into what I'm doing. Fixed Fractional always seems to be the best fit and definitely keeps things simple. Is...

Thanks for taking the time to share your insights - much appreciated. I currently bot-trade stocks intraday, but am currently backtesting strategies on NQ. Since I don't really want to go prop, the extra leverage of futures, along with the preferred tax treatment is very attractive to me...

Sure - its simply holding your position after entry for some fixed amount of time (seconds, minutes, hours, days, etc). Your position gets stopped out by a time rather than price threshold.