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You just gave some politician a horrible, horrible idea. I bet we see this become law before Obama is out of office.

If the problem with being Too Big To Fail is if a bank that is TBTF can wreck the entire financial market, then can't we use anti-trust and anti-monopoly laws to break them up? The power to destroy is the power to control. Not that I think anything is going to actually happen to GS, JPMorgan...

Be fearful when others are greedy, and be greedy when others are fearful. I think some rich dude said that or something. :D

The mushy part of me thinks it's terrible the way that the poor are preyed upon. The rational part of me thinks the poor are poor because they are terrible with money. If it's not payday loans it's retarded home loans like stated income IO's and NegAm's, or it's late fees and check cashing...

Price does not have to get back to the starting point to make money, you proved that with your gold/silver example. As long as the small movements that head back towards the mean are greater in aggregate than the absolute movement from start to finish, your method makes money.

lol

Well, you're right. Why wait until price moves -50% / +100%? We should be able to do it at half of that move and still be profitable. Or a tenth of that move. Or like you say, by time. There is a lower limit on the delta that can possibly show a profit because we have to have a difference...

1 - absolutely right, and this is the problem with the Sambian Strategy. There is nothing traded anywhere that has frequent 50% down and 100% up movements. Nothing liquid and legal that is. :) 2 - academic discussions never do. After we get a working model, that's when we see if it makes more...

Things are more like they are today than they have ever been before.

At the risk of stepping on sambian's toes, I will take a stab at it. The Sambian Strategy (as I will now call it) doesn't work like that. It doesn't take a point in time and decide what to do, it watches price (without regard to the time it takes to move) and makes a decision to rebalance the...

sambian, I love the spreadsheet. I added a column to convert the euro account to usd, then another column to sum both account totals in usd. Then I recalc'ed the table to generate new random numbers, and watched my ending balance. I like it when it said I had $5 billion! But I saw that...

I'm long daffodil CDO's. You know what they say; daffodils are the poor man's tulip.

I have to correct a semantic problem with this game regarding bet size. Your game confuses "bet" with "tying up capital". Bet is the total amount you can lose on a given event's outcome. If I am going to bet $10, and if I lose you are going to keep half of that, then all I have at risk on...

Sambian- Fantastic discussion! I maintain that this is a Martingale Mean Reversion strategy because you increase your wager on a losing bet and you only make money when the underlying goes back towards your starting point. If the underlying trends against you, you do not make money on that...

How far are these trades getting into the money before they fall back to your stoploss at BE? Are you aiming too high? I'd like to see you grab a few pips here and there instead of just preserving capital..

The answer here is so simple it took me hours to see it. This is a simple Martingale Mean Reversion strategy. In the EURUSD example, note that the exchange rate started at 1:1 and came back to 1:1. What would happen if it fell, then stayed there? Meaning if it did NOT revert to mean? You...

Beat me to it, Bolimomo. Very elegant solution.

Leverage ETF's trend toward zero, both the long and short ones. It has to do with their cost of leverage (slippage, commissions, roll forward losses and so on). If the market is up, the ultralong makes just a little less then the short loses. If the market is down, the ultralong loses just a...

Well that link crapped out. Hopefully you smart folks can figure out how to fix it.

http://finance.yahoo.com/tech-ticker/it's-the-leverage-stupid-roger-lowenstein's-rx-to-reform-wall-street-461933.html;_ylt=AhKjusDZfXec2iI0p0J9x1u7YWsA;_ylu=X3oDMTE2a2tucWlkBHBvcwMxMQRzZWMDdG9wU3RvcmllcwRzbGsDaXRzdGhlbGV2ZXJh?tickers=gs,xlf,%5Edji,BAC,jpm,c,MS&sec=topStories&pos=9&asset=&ccode=...