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Your link doesn't work. It's possible to work this out, though time consuming: - work out how many possible sequences of heads and tails there are (2^20 = 1,048,576) - work out how many of these contain runs of at least 5 heads (262,008) - divide the second number by the first...

I'm UK based. Agree with the comments about forexfactory and T2W. I mostly avoid them now; although the US bias on ET can get annoying the posting is higher quality. GAT

It's a conference presentation, and obviously aimed at the audience that are there. I have given some incredibly basic presentations, when I've been asked to do it. Doesn't mean I can't do the more complicated stuff. From his linkedin profile he's clearly a pretty experienced guy...

New blog post serie on skew https://qoppac.blogspot.com/2019/10/skew-and-expected-returns.html GAT

I'd recommend Nassim Taleb's first book. No, not Fooled by Randomness. I mean Dynamic Hedging, obviously. GAT

That sound's about right (although I'd personally allow 3 bottles of wine as I'm not a big beer drinker), but the order passing and associated processing is the bit that takes a lot longer to get right. That's a good idea, hadn't considered that. GAT

As the creator of pysystemtrade I can tell you that: - there is no malware in it - honest! - it doesn't yet have support for automated trading, though that's something I hope to have time to add in the next 12 months or so - it's very much a part time project for one person and not a commercial...

Interesting idea let me think about it. GAT

Beta is measured vs the market. What is the market here? I would use vol or duration. Both would give you about a 4:1 ratio once you've allowed for different contract size. GAT

I disagree If by 'minimising loss' you mean risk management, then it's likely that successful traders focus much more on managing risks than maximising profits. Also, it depends on your trading style. If you're a classic long gamma global macro or CTA guy then loss minimisation (putting on...

Possibly, although they're likely to hedge their whole book holistically not client by client (unless it's a really big client, not just measly 7 figures). Does the fee increase with the size of your exposure? Would be weird if it didn't or you would only scare off the relatively small clients...

Look at it from IB's perspective. If I was a broker would I really want clients who are happy to sell naked gamma without hedging their tails? No, not really. So annoy them with an extra fee so they go elsewhere, or change their behaviour. You have chosen the first option, don't whinge about it...

Yes basically, although you could also work it using some standard statistical techniques. For example if your annual Sharpe Ratio was 1.0 and your risk target was 10%, then that works out to roughly 0.1% expected profit and 1% standard deviation per trade (with a lot of assumptions). The...

Sure but most basic risk management doesn't need skill. If I sell one VIX future then my delta is $1000 a point. The largest ever spot VIX move was 20 points. So that's an extreme loss of$20,000. If I wanted to lost at most 50% of my capital on such a move I'd need $40,000. None of these...

Surely the definition of discretionary is that it isn't systematic, and therefore can't be programmed? Having said that I suppose you could try training a neural network or similar to recognise chart patterns; essentially get thousands of charts, hand label them with the sort of feature you...

Yes you need to decide what you mean by not performing, and from that you can determine whether 100 trades is sufficient to make that decision. This will depend on your confidence interval; do you want to be 95% certain that a strategy is not performing? 99%? 75%? Why do you need more capital...

For example, if you just short 1 contract of VIX, you will make money over the long run. But this requires no skill, so clearly Beta. You don't need 'risk management' as you're not trading, only enough money to make sure you don't get blown up. I trade VIX using an inverse volatility position...

I'm going to be honest and say this is unlikely to work. You won't see statistically significant differences in performance based on such short periods of time. Evidence of predicting trading strategy performance is weak, and where it does work it relies on exogenous variables rather than the...

Was a long discussion on Twitter about this. Alpha is what is left over after Beta and other risk factors. But Beta can include 'alternative beta' which is any source of return that can be replicated by a well known simple strategy. So a simple vol selling is not alpha. Of course we can argue...

Did a blog post about my 'writing room' project https://qoppac.blogspot.com/2019/09/building-garden-trading-office.html GAT