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I am much too excited about an earnings idea to get much sleep tonight. I think we need to incorporate skew into our implied moves. Here is the formula for those who want to incorporate it in your models. We calculate a log linear skew and use that to price a variance swap for 2 different...

Let's say I am trying to predict Future Volatility (FV). I build a model using 10 features and run an OLS. I end up with an r^2 of .15 and it does a reasonable job at predicting vol. Next I want to incorporate some of the markets guess on FV which is the Implied Volatility number. My volatility...

I have a stats question related to this article. Aaron' predictors individually were right only about 52% of the time. When he added them all together he had a model that was over 56% accurate. Most stats courses use datasets like iris or mtcars which have predictors that are .5 r^2. We are...

https://www.eraider.com/nfl-picks In this paper he outlines a factor based model that helps him do reasonably well in the NFL season. My take away was, adding a few relatively weak predictors can create a decent system. I also enjoyed his commentary on how strong predictors are hard to come by...

This is exciting. Filled. Short .2 11000 July26 for $.1225 edit** This is equivalent to 108% Ivol Long .1 Bitcoin as a hedge. 66% of MM used

I could not find ivol data anywhere. I just wrote some code to pull data from the Derbit API. I will be storing it in an sql db. I will post once I have six months of data. In the mean time. My Derbit account is funded with .03.. Bitcoin. RBC only lets me move 500 CAD a week into my coin base...

Hey everyone, If someone has access to Bitcoin and Ethrium Ivol historical data could you PM me. I am willing to pay if it is from a reputable vendor. I need 30d, 60d and 90d tenors or First, Second and Third month expirations. Thanks.

Can someone verify this is a legit exchange. I just signed up. Options are priced @ 120% Ivol from first look (pretty expensive imo).

I just looked over a few of your posts. It seems like you are persistent with this question. Think about what you are looking for? If someone said, sell options that are greater than 10% of the strike and buy options that less than 2%. What would that mean? It would mean: 1. Buy all Deep OTM...

Why not just look at implied volatility?

Huge loss for the team.

EARNINGS SEASON STARTING TUESDAY MORNING!! We have come along way on this journal. I have no doubt we will see some incredible returns from some of you this season especially from @oldmonk. He has done some great research post Q1 earnings season. Personal goal is 40% on net liq by end of...

Michael Jay did so well for himself. Bringing his youtube account to 32K subs with an average of 1k likes per vid. All of this in just over a years time. When I first saw Jay (under 100 subs), I thought wow, what a boring and not great looking individual, he's never going to make it on youtube...

Does multi-charts allow you to do custom backtests? If so what is your opinion on their syntax?

Post a backtest of a single variation of the turtle traders strategy or your FOS. I am waiting...

How about you show some proof that you tested those strategies! Backtests usually look great so I find it hard to believe that you tested many forms and didn't find 1 that looked pretty good.

It's not long gone. It's still there. The markets are not static. An average investors security selection has gone up 10 fold from 20 years ago. She can trade globally. If you are still looking for value from the SPX companies you might have a hard time. But a talented investor who is willing to...

Trend following systems work where there is asymmetric information flow. @Kevin Schmit posted a paper awhile back where they showed how trend following systems work best on volatile markets. So it might be that trend following is dead on super liquid assets but maybe not on smaller cap volatile...

WTF does this have to do with the OP's question? You can write something in ThinkScript. If I remember correctly @stepandfetchit is good with writing thinkScripts. Try sending him a personal message

Hey Mario0887 it's nice to see you active on the board. Instead of coming up with a swing trading strategy like "candle stick breakout" you want to exploit some behaviour or inefficiency in the market. For example, you might think a particular market has asymetric information flow. To take...