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I guess it's mainly psychological. The other psychological effect is that I look at my trading p&l every day. If I were to put my entire capital into my trading account then the daily numbers would be very high absolute amounts of money (even if I was to run at say half the vol target); amounts...

Someone just asked me exactly the same question on m y blog (Was it you? If so please don't do that!) Here's exactly the same answer: Basically trading is unsuitable for providing an income, as the returns you earn (essentially any profits over the HWM after tax) are lumpy and may be absent for...

I don't store or use margin data GAT

Fixed and closed GAT

The chart isn't vol normalised: breakout had a higher allocation. But we're talking about two different things: the SR of a single curve, and the difference made when you add that to your existing system. GAT

This makes sense (to me at least) GAT

I'd certainly only calculate carry on end of day prices, since these are synchronised, and having synchronised prices is essential. GAT

I just added this comment to that thread, as I've now re-read Lo's paper: "Incidentally you made a mistake with Los formula - you are using an annual SR but you're assuming you have daily data. The correct range for the confidence interval given an annual SR of -0.12 is -0.43, +0.46" GAT

IMHO with listed options you're not trying to do 'pricing model' arbitrage as you describe. Instead you're trying to better predict the path of realised and/or implied vol better than the other guy; either in an absolute sense or a relative sense. GAT

It's the price IB provide with the historical data function set to get daily prices. I think it's settlement, but not sure. GAT

Try updating now GAT

Do both. Covered here https://qoppac.blogspot.co.uk/2017/06/some-more-trading-rules.html GAT

In this case pooling probably isn't appropriate. GAT

Yes, it's wrong to delete those 'in advance' and it will inflate your likely realised SR. The optimiser will only downweight to zero if there is significant evidence that they're negative - there may not be. GAT

'Tweaks' is perhaps an underestimate; certainly the adaptations required would require a blog post to explain properly (I'll add it to my list...) GAT

Glad you enjoyed it. Not my video (recording of a live presentation at QuantCon, so owned my quantopian) so I can't do that. Also some subjectivity about what is obvious... GAT

I'd strongly suggest watching the video (the New York one is easier as the slides are visible), and watching it all the way through. Then if you still have questions I'll be happy to answer them. GAT

Crikey - I don't have time to walk you through in this much detail. Are you watching the video (here or here) or just looking at the slides? GAT

B

Yes