Search results

Don't take it the wrong way, but I don't think you are in a position to make a comment like that :)

Yeah, and it also shows that the school is a bit full of it :) IMHO, there is very little difference in life-expected value between the top schools (e.g. I doubt someones life would change if they've gone to Cornell vs Harvard) but at some point there is step-down that's very drastic. It's hard...

Either that, or an equity leg - I'd be a happy buyer of that vol against similar exposure in spooz, probably.

Well, it feels so much like the PIMCO BSD trade but in reverse. Maybe he traded it OTC a while ago and now covered in listed?

If I had to guess, it's capacity that's killing everyone. When all these guys were nascent funds with a few hundred under management, it was easy to find opportunities that were off the beaten path. Long-short guys were able to invest into companies as small as 150-200mm in market cap. Nowdays...

I think it's great that America produces strong and independent women. That's what want in my partners. If I wanted something that just stays at home and never talks back, I'd get a potted plant.

The answer is yes, there are plenty of systematic traders that have been making money, recently and long term. I am one of them. Your mileage will vary, of course :)

Is there going to be beer involved? I'd show up then :)

Most people find "true religion" and go on professing that that's the only way forward, be it some technical indicator or high frequency trading. I flew to Asia recently and the dude sitting next to me was some sort of professional fighter (don't ask who he was since I have no idea, but people...

Structural reasons - somehow the world is set up in such way that something is mispriced. For example, implied volatility is over-priced because the institutional investors are forced to hedge big downside swings. These dislocations are usually very stable and will persist for a while...

You don't need to pull volatility surfaces, a vol index will give you plenty insight into the upcoming events (CBOE maintains a VIX-like fair variance index for almost every product out there, though unlike VIX you can't trade them). No, I have not noticed, so thanks. In that case, let me ask...

So, oddly enough, we actually agree. I did not realize people agree with each other on this forum :)

Also, you are buying overpriced vol in the wings as a "hedge".

Ok, what was the actual statement you where trying to make? I understood it as "high winning rate is the only way to go". My point (regardless of what you said) was that what really matters is the overall statistical expectation (which is not completely true either, since other risk metrics...

Out there, there are plenty of traders/investors thriving in a variety of time frames, asset classes and trading styles. People here, unfortunately, seem to have a very narrow understanding of the financial world and that reflects on how the markets function and what works.

Actually, back test is almost always just a glimpse at the value of the strategy/trade, regardless if the strategy is fully automated or semi-discretionary. There are so many factors that are hard to take into account that usually it makes sense to go live in tame size and take it from there.

Actually, there is nothing stupid about this example. Over time, the only thing that matters is the statistical expectation. I have several strategies that buy under-priced convexity and the win rates per trades are as low as 10%. If your trade is positively convex you can get away with a...

It's a variation of a standard CPPI approach, with it's positives and negatives. Obviously, the original strategy needs to have a positive drift and you are introducing a significant amount of path dependency. Like in any other hedging approach, you reduce variance of the strategy at the expense...

My personal "parameters" in order of decreasing importance - the trade/strategy has structural reason to exist - the trade/strategy has theoretical edge - the strategy has few free variables that can result in a curvefit - the strategy back test spans a period that includes different regimes

Oh, so you are ignoring me specifically :(