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Hi jb514, Yes, undoubtedly the choice of a good folio is a central issue. I feel that most of the time they have to be actually "tried out" to be able to make a selection. Of course, the suitability, may also depend on the features of the scalping/hedging game one has created. In principle one...

Thank you Sam. Well if it were not sincere, there would be not much point making a journal. The purpose is also to grow from mishaps and errors and thus stay on top of them :-) Many aspects of this test are still purely experimental (well, we never stop improving anyway), and I think it is...

Here is quick folio update. Definitely the worst day ever, with a monster DD. Had various mishaps with hitting the initial margin figure (too many layers loading up) and with orders being rejected on several layers and the gas instruments (ugaz, gasx) have rapidly escalated to a very large DD...

A quick folio update (21 Jan) after the holiday. Today we had a pretty large drawdown (DD), with almost everything "loading up" and hedging (indexes, metals, energy). The top picture is the usual PNL view (this time I am not showing the other PNL components around, to make more appreciable the...

> I see now that options are only used to hedge deltas (thetas neutralized) That's right. Since, by assumption, we don't want to allow ("memory-less") losses, we are not allowing paying time decay. In case of assignment of some option, the corresponding position will be transformed ("fill...

> there is a time decay and often negative volatility risk premium which means you would be losing on theta. Does the program account for this? Yes, the "protection unit" placer selects pairs of options in such a way to be theta positive. This is explained on posts on p. 7. See also the...

Hi TskTsk, Thank you. > you do not take losses... That's right. > but rather hedge them with correlated instruments There are several sources for hedging I am currently using. These are, in order of "importance": - "Player superposition" (on the same layer) - "Layer overlay"...

Hi ofthomas, as I have explained in the first post, I am trading the account of a private investor who is kindly sponsoring this strategy demonstration. I have remote access to his machines (running the IB Gateway) via Teamviewer (http://www.teamviewer.com/en/index.aspx), and we are on...

There is also a pretty large specialized group about IB API on Linkedin called "Interactive Brokers Traders and Fund Managers" (just drop me a PM if you want the direct URL). I used to read the SMF too, but very few post there lately.

For those who are not trading along, here is some pictures to give a flavor of the (current) scalping/hedging game. This is the most successful layers we have currently, showing the order cloud generated by the game applied on the instruments <b>ZSL</b> [UltraShort Silver]...

End of week. Today we recovered some the recent DD, incessantly scalping on various layers. This week was productive. I have added several new features and improvements and pretty happy with them. I am working on some conceptual refinements of the scalping/hedging games which seem to yield...

Thank you ofthomas, that is very interesting, and actually makes more sense to me. (As to the margin issue, I was not referring to margin calls. What happens is that when you make and order, IB checks the "initial margin", and even if you exceed 1 cent, the order is rejected entirely. So...

>for buying power ... What matters here are margins. If you play a little with this kind of (statistical) approach, you readily see how easy it is to hit the "margin wall" with a small account (especially using several layers). Realistically, I don't think one would be able to trade the ETFs...

Thank you ofthomas. Absolutely right. The whole concept does apply to funds or large private investors. Since we are exploiting an edge of statistical nature, essentially based on a large number of transactions, I believe it does not make any sense to try to use this approach to trade...

Thank you ofthomas. Percentage of what, do you have in mind ? [ "Capital" would make no sense, as it may be used only partially. I might have 1B and use only 500K for trading. Margins, would be extremely erratic and give no info at all, as they can change of a lot from a minute to...

Here is the PNL alone, as jb514 suggested (with the latest drawdown). jb514's post gave me the idea that it would also be interesting to make of the "mirrored loss" curve a feature, as it is actually interesting being able to directly compare Gain and (temp) Loss on the same side. [Clearly...

Here is a quick folio update, summarized in a folio view. Today we had a significant DD. And especially some energy related instruments "loaded up", and had to hedge (UGAZ, UPRO, DRN, URE got hit). (The FAS layers have been "messed up" a bit by the forced suspension and had to make some size...

Hi jb514, thank you. The pnl/net liquidating value is exactly the cyan solid curve you see in all folio updates I have been posting so far. (Or do you mean that curve alone, without any other curves around ? ) The "smoothness" depends a lot on the scalping/hedging game rules. I believe...

btw, note that the term "Net Gain", here, is really intended to be a short for <b>"Net Gain component of the PNL decomposition"</b>: PNL = Gain + (temp) Loss + Unrealized So you obtain the "Net Gain" component, by taking the Gain component and subtracting the absolute value of the...

Hi PocketChange, Nope. The 56K are actually already "realized" in a certain sense (that also depends on what we mean by "realize"), as they are the difference between Gain and (temp) Loss. I have defined it in a previous post (see the one with handwritten formulas, on page 5). So referring...