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Yeah, you're talking about a borrowers credibility (basically your credit rating). I 100% agree here. I was just referring to brokers lending behaviour towards retail traders. IB, for example changes margin requirements based on underlying volatility and/or upcoming possible force majeure...

a loan is a loan no matter who gives it or how it's named. A loan with a negative yield is also doable. You just need to find a willing counterparty. Depends on the underlying's volatility. The lower the volatility the lower the margin req. It's probably an issue for a crypto project with a...

i know. my "problem" was the risk asymmetry here, thats all. And there's a relationship between an underlying direction and an existing arb provided by that underlying. "Arbs" (big enough for retailers to benefit) are there for a reason. but, all good. I have no desire to argue. Cheers.

everyone can take a margin loan with a margin account with enough collateral, this isn't the discussion. We're getting off topic here. OP said he'd rather take a 100m loan at @ 3% (floating) to stake into a 10% yielding (crypto or smth) project instead of buying outright underlying (crypto...

There you go. Why talk about what big institutions get access to? How is that comparable with what YOU can do? There is no "consumer loan" with 3% yield. If there is, please point me (a consumer) to one. Let's stick with what is possible to retailers.

Wait...someone is willing to lend you 100m for 3% yield? :)

Be careful staking crypto. Higher rates are higher for a reason. Someone has to PAY that yield to YOU. Now, why? It's possible only during times of bubble where sentiment is in greed mode for quite some time. But if you can figure that out, then why bother with those (low) yields if you can just...

I know. My point was that there's a reason for rates and "staking yields" to be priced as they are. Everyone is in competition with each other. No free lunches. But this thread already covers this. And what's the cost of hedging currency risk? :)

Where are you getting that 2% consumer loan with todays CB rates, tho?

thumbs up for Virtusa: So, Self, in your 10+ years of trading career, have you ever looked at your results in this way? Have you done any stat analysis of your strategy?

i agree, sortino is a better indicator.

that's what i keep saying. It's all about filling and how much slippage are you getting. You're just agreeing here :) Which is why i said that the only way to protect yourself is to just trade long options and delta hedge it. So, your strategy is basically long vola. Then you'll benefit hugely...

It won't. flash happens, then it reacts. if You're on the right side then you're making money. If you're on the wrong side then the questions is how much slippage are you getting with regards to your planned stop loss. Doesnt really give you anything to define a flash crash by doing (avg...

well, i can try. Probably won't succeed, though

He'a talking about a FLASH CRASH. if your flash crash 5min bar high-low = 100pts+ while your avg 5m bar has it 5pts AND the market don't fill you, why are you measuring that historical volatility for?

His talking about "force majeure" event, measuring historical volatility isn't helping here.

a minute is forever in algo trading, so i'm not sure what you are asking here? The market wasn't probably empty the whole 100pts, i'm sure you're algo would have gotten out with "decent" slippage so you take a little larger than normal loss ASSUMING you are on the wrong side AND flash crash...

sorry, i forgot to reply to you. You're not creating any new value by breaking down the SAME strategy. So, what you did here is you just exchanged total return for sharpe. There is no new value. It's the catch 22 of markets (strategies). Only if there's new parameters, it's possible to...

oh ok, thanks for clarifying.

I saw the result. Looks really good. Why are you so afraid to post results and reveal the broker who funded you :)