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I've got daily historical data, I wonder if I should split the gap data out too since it can be significant. I've normalized it to percentage moves. It appears overall in the data set that a stdev is about 1%/day. 2020 data was more like 1.2%. monte carlo using actual movements should give a...

Expected value. Sum of the weighted outcomes. For example 500 * .99 - 13000 * .01

Just as example I did ES spot about 3900, sell put at 3635 buy protective put at 3500 with 19 dte. IB profile shows 99% for max profit about 500, 1% max loss of around 13000. However calculating for partial losses I've not found a good method of weighted outcomes for more complex cases to...

I have run more calculations and the maximum leverage which the Reg T math allows is 1.5x no matter how many wait cycles are performed. For $15,000 initial cash, this occurs at $-7500 from BIL shorting, and $22,500 into the fund (post-30 days). However, there is hope for PM accounts...

Yes - it's 50% on the first day and 30% after that, but I always look at the SMA which is the indicator for whether I can hold overnight (must be > 0). I can't use the numbers for margin in the IB dialogs because they assume 25% during the day. On PM it's different, a lot more free (it's my...

The buying power during the day is different from the overnight rules of Reg T. If I understood the rules correctly, you also cannot buy funds on margin, it has to be from a positive cash balance. You have to be under 2x of any included assets (new funds purchases are not counted for 30 days) at...

This is an example how it could play out (max ratio for initiating positions 50%). Both BIL and IOFIX (the target fund) move in a very predictable way. Here I have started with 40k and then effectively "borrowed" $27.4k into the mutual fund without violating Reg T. at any time. In reality IOFIX...

That's why I tested various "if it move up X, what is the further upward risk?" distribution. Long tail risk can blow it up. I don't have much skill for market timing, so I usually calculate mechanical strategies in order to better define the risk profile. I am pretty skeptical of "income...

IB specifically says: "By regulation, brokers may not allow clients to purchase mutual funds on margin. However, once purchased and held as fully-paid for a period of 30 days, the mutual fund shares have loan value which may be used to extend margin credit against subsequent stock purchases."...

Did anyone check out the IOFIX mutual fund (performance slightly better than IOFAX share class below)? If it's as consistent a return as it looks couldn't I just short BIL (0.7% fee rate and about 1.5% yield currently) and invest most of the proceeds into this to earn the 10-11% rate? The...

After searching for ETFs for hours, I finally found something better than TLT + equity index 60/40: Although for pure alpha, this looks promising: https://www.portfoliovisualizer.com/fund-performance?s=y&symbol=IOFIX , and http://alphacentricfunds.com/funds/IncomeOpp/FactSheet.pdf

Ah, yeah the same site that does the correlation matrix also does: https://www.portfoliovisualizer.com/optimize-portfolio , which is faster for testing any symbols I want to throw in. I'm running through dozens of high sharp ratio long lived ETFs for each component.

I searched https://etfdb.com/etfdb-categories/ , and started to throw things into the correlation matrix against SPY/GLD/TLT. It's hard to find something that diversifies against SPY, and there are even fewer things that are not correlated to any of them (but maybe that is an opportunity to run...

Good info to keep in mind. Yeah, this exponential debt / rate suppression regime will probably last for awhile yet and it's what's really driving the prices up in this study, but it could change. I've researched the "debt super cycle" and I am a bit afraid how it will conclude, but other than...

One reason I didn't care to calculate alpha. For my purposes (margin, safe leverage, etc), max drawdown is more relevant. Yes, a straight line with no drawdown is pure alpha, and you could leverage the crap out of that (if it persists of course). I got started on this when looking at asset...

Ran tests from 2005-present using daily historical data. Initially I used the Excel solver with a max drawdown setting of 20% and then 15%, telling it to maximize returns. Then I had it minimize drawdown (it was able to reach a low of 13.7%). The highest ratio of annualized return divided by max...

Here is some more I ran last night. First the mean of the upside (that minute to EOD price change) by time of day, last 60 days analysis (it needs to be divided by 60 to get the actual but the chart shows the relative values): Standard deviation of the same (essentially realized intraday...

So I pulled bars for the last 1239 whole trading days at a 1-minute resolution. For each of the 390 minutes in the regular session, I looked at the price change (close minus open) and calculated the standard deviation of that minute for all of the days which essentially gives me a "volatility"...

I did not see a desk for this on the site and the people I've called at IB don't seem to know either.

https://docs.onechicago.com/display/PD/No+Dividend+Risk+Security+Futures - this is the product explained. Both the opening price and the purchase price are adjusted down for dividends. It settles differently than you'd expect from a normal futures contract. The point of using it this way is to...