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Right on the money, dtrader98! cubic spline interpolations is the family of curves that GUARANTEE Gaussian distribution around each point! Congratulations! Very good! Now, the challenge is to design a practical algorithm to exploit this phenomenon and you have your Holy Grail!

If only you could understand that a very few people on ET will comprehend what you have just said. 99 % of all the traders still believe in "set-ups", patterns and other similar crap. Unfortunately very few understand that successful trading has nothing to do with those rituals. I clearly...

Confucius said once: "The one who thinks he is an idiot is not an idiot at all!"

:D I wasn't trying to be "mean" :) Mean or expected value used in the distribution formulas could be calculated using all sorts of interpolators. Moving average has a very bad reputation of being "late" and not representing the "mean" as such that the distribution of the price over it...

That is why it does not work

That's right, throw the good money after bad! It's like averaging down in trading. You are adding more money to your losing position!

The "ruin" could be avoided. What function did you run as your mean? Please do not tell me it was a moving average of some sort. :D

Options, like a chess game, have unlimited amount of winning strategies that could be constructed depending on a particular expected behavior of the underlying asset. I would be inclined to think that complex option constructs do not often have the way of implementing them efficiently. On...

It is so refreshing to know that none of you knows shit about reversion to the mean and how to calculate that mean properly. When I saw the thread title I was concerned that some of you might get it, but it is such a relief to know that you are all still in the dark ages of "Bollinger bands" and...

To my absolute embarrassment I have to admit that I have never used MATLAB in the past. Over the last 18 years in this business I have written thousands of applications using VB, C++, Java and many small scripting languages such as eSignal’s .epf studies etc. I have always had a luxury of...

I have actually always liked Thunderdog. I think he is an intelligent guy (or a girl) :)

As the matter of fact I have just took an IQ test (what a coincidence) at the MENSA association of Canada. I won't post the number, but it is higher than I had 5 years ago. Go figure :D

number of points between current price level and the short put strike vs number of points between the short put strike and the long put strike. The same for calls

Interesting discussion. I find that symmetrical condors are the least profitable. I trade call/put IV adjusted condors with the 1/2 width of long wings vs short wings. My usual credit (depending on IV on S&P) is around 8 points on ES. I do the adjustments of the guts and leave the wings...

Garbage

DEAD CAT BOUNCE!

People who have a successful system usually do not brag about it. Just my observation.

One can successfully implement a simple moving average crossover system playing ATM options. In that case you have very small losses on Delta but you gain Theta and on average you are neutral Vega. If you choose a security (like SPX, for example) that has tight Bid/Ask spreads on options you can...

Agreed

Its painful to hear the truth, isn't it? :D