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  1. tommcginnis

    "December is back on the table" == f[Empire+DOW+ChiFed+Redbook+PMIflash+RichFed...]

    Great opportunity to take more off the table, via greater asset sales or by interest rate hike or by both.
  2. tommcginnis

    how outlook affects your trading?

    Isn't that Beth Grant and a young Jake Gyllanhal (sp!)?? Great taste in whacko movie references. BTW, if you *really* want to do this one right? Recognize that the movie was horrendously edited: get the DVD, watch the outtakes, and then watch the rest of the movie, and it will all make SO MUCH...
  3. tommcginnis

    How to calculate MFE and MAE if...

    I think you have a cart and horse issue.
  4. tommcginnis

    After the 1st leg up do you sell or hold?

    If you're considering an exit, but don't want to jump "too soon", consider writing a call on it. It's no guarantee that the underlying won't tank, but it improves the taste of *that* bitter medicine nicely. And if it should skyrocket another leg up? Wellllll, you were going to chuck it anyway...
  5. tommcginnis

    Is Walk-Forward (out of sample) testing simply an illusion?

    Not only has no one written that the domain between sub-segments be the same, but I have repeated referenced it being variable as a relevant factor.:rolleyes:, :wtf:, :banghead:, :cool: That said, great exhibits (labeling aside).:thumbsup:
  6. tommcginnis

    Is Walk-Forward (out of sample) testing simply an illusion?

    Suppose there are three periods A,B,C SegA runs 1.0→2.0 SegB runs 2.0→1.0, and SegC runs 1.0→1.0 Models performing best in SegA would show positive (Cartesian) linear behavior, SegB would show negative linear behavior, while SegC would exhibit a graceful curvelinear arc and do best with a...
  7. tommcginnis

    Interesting data on the US stock market

    "Bingo!" -- and nicely put. As for the (over-the-top!) "Professor Tom" appellation, 'Yeah. In my dreams.' But TOTALLY I just parrot whut I wuz taught. "My guy" (Larry Bartels) was a dissertation-writing Ph.D. from Berkeley when he was teaching me at Rochester, and Larry worshiped *his* guy...
  8. tommcginnis

    Interesting data on the US stock market

    You mean, like, where things regress?? http://stattrek.com/regression/residual-analysis.aspx?Tutorial=AP Which means, you perform a regression, and then take a look at your data_vs_model. These "residual" values -- leftover umph after the model was done -- often carry clues about underlying...
  9. tommcginnis

    Buying back challenged side of Iron Condor, and leaving non challenged side open

    THIS. This. This. A thousand times, this.
  10. tommcginnis

    Optimization

    DO NOT be afraid to tailor the SMA (and/or, the choice of oscillator!) to the underlying. THERE IS NO rule that says the look-back parameter needs to be the same for every underlying OR that it needs to be the same over history. (The latter being a formula for spectacular failure.) USE WHAT...
  11. tommcginnis

    Interesting data on the US stock market

    https://en.wikipedia.org/wiki/Decomposition_of_time_series ??? In the short term (say, instantaneous) any trend component would not be discernible -- and any effect would be folded into the variance. In the longer term (t=100? 1000? 36,525 days?), the trend's effect on variance is diluted. How...
  12. tommcginnis

    Interesting data on the US stock market

    "Volatility" or σ estimates, of and by themselves, beg "I.I.D." conditions https://en.wikipedia.org/wiki/Independent_and_identically_distributed_random_variables which means that the period-to-period correlations, which would severely erode with upside-trend recognition (Box-Jenkins...
  13. tommcginnis

    Introductions

    Nice screen name.
  14. tommcginnis

    Simulating long by buying call and selling put?

    (This brings out the nerd in me....) A strategy carries the implication of (high level) broad views given to general officers. A tactic (with roots in touch) refers to immediate actions. 'Selling a put and buying a call' tells you nothing about how to manage the trade after that -- no...
  15. tommcginnis

    Is Walk-Forward (out of sample) testing simply an illusion?

    Nope. You have to remember the border: If you imagine the market (or whatever) as a perfect wave, and your border of segment1→segment2 was the very top of the wave, your segment1 strats would be biased "long". {etc etc etc.} I am totally forgetting the test condition for a fair conclusion of...
  16. tommcginnis

    alternatives to us index futures

    Meh. My bad. It was late; I wuz tired == cranky. But the way you put it, it sounded like "Trading $$Millions for 30 minutes a day!!" stuff. Having paid that price myself, I pulled what the shrinks call "projection." (Also, of course, this relentless-climbing market *really*does* have my nuts in...
  17. tommcginnis

    How hard will I get crushed by this volatility crush?

    Damn! I missed the emoji that signifies, "Jeepers! Another douchey newby troll who lacks spelling skill, but thinks they can make that up with profile graphics and idiotic advice! I thought we were running short of such things!" Anybody see that emoji?? Dang. Ahhh well.
  18. tommcginnis

    alternatives to us index futures

    "And then, blow up your account." Not funny.
  19. tommcginnis

    How hard will I get crushed by this volatility crush?

    Hey, I've only scanned this playbook, but if I (*rarely*) have a owned short-timer, and want to lock in/insure production out of it, I'll sell something sweet at a distance that gives me some fair premium in the pocket -- a'la, turning my owned single into a vertical. With such short time...
  20. tommcginnis

    Options margin question

    Okay, well, with a question like that, you need to not trust any answer you receive, and please, give all of your capital back to its rightful owners. :confused:
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