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Like Bayer and Monsanto?

You just are not able to understand that nobody in the industry does it that way and that there is a good reason for it.

Keep your shit, we have no common language.

First I thought you were disabled, so you have to use voice commands for interacting. You cannot use Alexa for this: "tell me the parameters so that my equity for a given level of risks gets optimal. I will tell you my 100,000 lines of 60min data the next hours. Please keep them in mind, so I...

That is not what I said. Again, selling puts is equivalent to covered call writing. That is "put call parity" the most basic option pricing principle, it is in every option book. If he sells a put, he can think of it as a virtual stock long and a virtual call short (it is the same in the...

Not quite, he already owns the stock if he sells puts without leverage. That is equvalent to covered call writing (stock long + call short, put call parity). Compared to buy and hold, selling puts is less risky in bear markets (because of the additional premium from the call). The offset is...

Right. What you do equals covered call writing (selling the call and buying the stock) and that clearly is less risky than just buying the stock. If you do it with very far OTM puts, it almost equals buying T-bills (collecting the "risk free rate"). That is just put-call-parity, the most...

You really confirm every prejudice one has about php programmers. Unbelievable you refuse to use the proper libraries.

Condensed data only I guess (e.g. implied surfaces and no price data of options)? I need prices to compute implied variance.

The statistically most predictable option strategy according to your definition is simply a short box (giving a credit and receiving the risk free rate), although this is obvious not the answer you expected to hear.

Not really. Maybe regime switching with hidden markov models. Or this stuff: http://asiaetrading.com/tobias-preis-founder-artemis-capital-video-interview-with-asiaetrading/ http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2260189

Not anymore, but this was a part of my last job.

Is that irony (i am not a native speaker)? A few years ago we tested it at my former employer. Wasn't really successful. Sornette published a paper where he combined it with pattern recognition to do actual trading. Could not find it on his page but the results were not impressive. Anyway you...

From what I understand, the code is actually working but crude. He is optimizing over 7 parameters instead of what Sornette proposes in his latest papers (slaving 4 parameters). So he gets stuck in the first local minimum in an unnecessary blown up search space. Do you expect much from LPPL? I...

There is some R Code at R-SIG-Finance: https://stat.ethz.ch/pipermail/r-sig-finance/2009q3/004639.html

Detrending (with Butterworth at MESA, but it could be any reasonable detrending method) is just pre-processing. As we want to examine cyclic behaviour we try to flatten out a linear component that could disturb the spectra. Of course this is highly subjective, as well as there is no strict...

Butterworth has nothing to do with MEM. MEM means that the spectra is choosen which maximizes entropie function (under given constraints). If properly done it can be slighly superior to FFT since FFT has the problem to choose a window function (http://en.wikipedia.org/wiki/Window_function) .