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I meant "proper" curve-fitting tests, like out-of-sample re-tests. I do test across the asset space when there are enough assets to test across. For some of these, there might be a similar asset, but for a large set of systems there is nothing "comparable" (like the stuff that I do on VIX).

Personally, I think delta-one products are much harder to trade...

I already do that, models are validated on their own (or they are already built on some sort of statistical relationships, e.g. based on regressions). I want to get a better handle on the actual strategy testing (though it's secondary in my process), simply because this is yet another layer that...

Given the kind of trading that I do, I keep bumping into the same issue when analyzing and improving my strategies. There are theoretical or heuristic models that prompt these trades, but I still like to look at the historical performance. For example, I have a strategy that produces from 10...

Yes, definitely an awesome spot (though I have never chatted up any hot actresses). Really good gin martinis, though - "make 'em dirty like my women, dry like my humor".

I noticed there were a few discussions about options newsletters, mostly with negative reviews. What exactly is their business model? Is it that they suggest actual trades to you or just offer you general ideas along the lines "skew in Apple is cheap, might be a good time to buy some"? If it is...

Ha, I am confusing it with Second Avenue Deli (which I think re-opened after a few years), you're right - HH went bust. Too bad. One my best Wall Street memories is eating H&H bagles in the middle of Broadway (right in front of the store) after my first bonus announcement. It was way past...

H&H used to be The Bagel Place, but they closed down (apparently, the heirs of the owner did not want to run the place, how lame). Japanese - Sasabune on 73rd x 1st, one of the least known yet the best omakase places in the city. Taka on Grove street is just as good, but hard to get a...

I specifically said that you can use you favorite risk measure it - it would still be an improvement over simply taking returns. When you look at your algo strategies, you are most certainly are forced to make an assumption of your risk metric, yet you chose to do so. There are a number of...

Returns can not be measured for the future either. Risk-adjusted returns are measured for the past - you know both and can safely adjust returns for whatever risk metric you desire. Do you actually do what you claim to do or you are a software salesman?

(A) You recommendations would not be obsolete, but would rather be irrelevant - you do understand the difference, don't you? There was a point in my life when I too thought that I know everything because I programs in S+ and has read a few relevant books. That was when I started in the silly...

Please do, I would love to learn from a seasoned trader like yourself. I am sure you have been trading for a long time and maybe even managing a group of traders, so there is a lot for you to share here.

Almost - trying to create a historical vol database.

It's on my to-read list, I might get to it soon. As I said, I have read a different paper. (a) I don't know if you do trade for a living and if you do, what do you trade. However, the fact that you believe that is it possible at all to evaluate any returns without adjusting the risk is...

Pretty much any book containing barriers or volatility derivatives is as much fun to manage as having a rectal exam. However, in general, exotics traders do not use analytical approaches for secondary risks, you usually just use scenario approaches. So I'd say there is no reason to (a) know what...

Anyway, I'd say the farther you go, the better, assuming the vol is rich enough - e.g. Dec13 or even Dec14. I had some long vega positions and liquidated some Friday. Given that long-dated vega does not really decay, it makes sense to buy it when it's cheap and sell it when it's rich. PS...

All of these would work, depends on what you are trying to do and what kind of event caused volatility. You could simply short a really long dates straddle (e.g. Dec 13) - it's pretty much pure vega assuming you deem the implied vol levels high enough. Long-delta 1x2s or put trees on VIX that...

Convexity comes from the fact that vix futures settle linearly, while variance swap P&L will be quadratic. E.g. if you have put on vix futures vs forward var in one unit of vega and it is vix futures expiration date (assume that on settlement VIX is the same as fair var and that original...

Have you looked at the website of this guy? There is one research piece, from July 2008 and he called everything near-perfectly. Which could mean either of two things - either he is a genius and his newsletter is a gold mine (in that case, why is he not managing his own money instead, if he can...

If selling gamma is your only strategy, you very well might blow up, even if you do it at what seems to be opportune moments. You look at your vol cone (or whatever you like as a vol analysis) and say - oh, implied vol is at 90th percentile, let me sell some 1m straddles. Next thing you know...