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So you'd prefer a condor strategy on this to stay closer to delta neutral?

Not necessarily saying that calls are the answer.... that is my more fundamental question. I think the distribution I posted shows a pretty clear skew in the return distribution - more so that I usually see priced into the option IVs in my (albeit limited) experience. BTW - the...

Sorry - wasn't trying to get into too much detail and I agree that there really isn't much meat except for the graph... but i was trying to zero in on any high-level feedback there. Specifically, if you could reliably generate signals/candidates for a 10 day holding period that would give you...

I've been working on a relatively simple screen/set-up for generating good call credit spread candidates. Based on a relatively simple set of parameters (avoiding curve fitting as much as possible) the distribution of returns for the system vs. the s&p (courtesy of portfolio123) is shown below...

And it's all gravy if cnbc gives you a lot of free marketing. OT: anyone know of some good write-ups (or want to trade ideas) on levered etf options strategies (not lottery tickets, but selling the options on fundamentally flawed securities in a delta-neutral fashion?).

Well... I think one of the underlying themes that you also get from everyone from Taleb to Buffett is the fundamental misunderstanding in modern financial theory of the difference between volatility and risk. It still makes me cringe when I read investment literature aimed at newbies that talks...

So at times, your system would have you all-in at times with a position size somewhere between the what is allowed by the current IB margins and 2x that level (50% intraday margin)? I just hope your system is really accurate and you are damned confident in those inter-market correlations...

So you are obviously trading an intraday, very short-term system. Does your system typically have you in all five markets at the same time? I'm just trying to probe you on your position sizing... Its seems like you are basing your stops on your position size and the maximum number of...

So as an example, let's say you have $20K in your account and you allocate 20% to NQ futures, which have a margin requirement of $4K. You can trade one contract. Your risk level at 2% is then $80 which equals 4 pts on that contact. Let's say you traded someplace which let's you trade 2...

I don't view this as a hateful quote at all... I think it's a very safe bet that if the output of your position sizing technique ever conflicts with the minimum margin requirements of IB, your risk of ruin is definitely close to 100%... regardless of whether you use IB or go for the $500 margin...

As an example from my previous post - if the stop is set at 1%, the standard deviation of the daily range is 2% and the standard deviation of the daily returns is 1%, the ratio in the original question would equal 1.94 : 1. That is, you'd get stopped out 30.85% of the time, and you'd get an...

Isn't this whole question just getting to the fact that the probability of getting stopped out is a function of the size of the stop vs. the standard deviation of the daily range, while the probability of making a similar gain would be a function of the size of the stop vs. the standard...

I think the large places are likely to have very little to offer you... most of their DC outposts will likely effectively be just retail brokers serving their high net worth client base. Probably won't be much to do other than glorified clerical work (don't get me wrong - that could still be...

I used to use prophet.net, and was very happy with them if you just want charting (including futures). I think their service is pretty sophisticated (but doesn't get into things like backtesting, etc.).