A Non-Correlated Strategy Trading Journal That Shows Profit

raVar said:
B E L I E V E ... N O ... O N E

Yes, that includes me.

The only thing that matters ... are ideas. Which ironically ... you can even pull from the frauds,
More...
Good advice for us newbies. We can learn from anyone but each one of us has to verify on our own if the ideas make sense. Blindly follow will lead to ruin/blowup.

@destriero probably doesn't think much of @Handle123 but I got some of my best ideas from reading his posts.

On the other hand, @destriero is the real deal however, I am just too dumb to understand his writing. :banghead:
 
ironchef said:
Good advice for us newbies. We can learn from anyone but each one of us has to verify on our own if the ideas make sense. Blindly follow will lead to ruin/blowup.

@destriero probably doesn't think much of @Handle123 but I got some of my best ideas from reading his posts.

On the other hand, @destriero is the real deal however, I am just too dumb to understand his writing. :banghead:
More...
You are not dumb.

You are a part of the species, that composed this hundreds of years ago ...


You are a part of the species that sent a probe, the size of a Piano, to a moving object 4.6 BILLION miles away, at 37,000 miles per hour, hit the exact spot they wanted to hit, and then sent back Hi-Def images back to us ...


You're not dumb.

Mind you ... I don't think you or I could do the above? But the point is, we're part of a species with some pretty incredible talents. If I hit even the low end of those smarts distribution ... it still means we're capable of quite a bit.

When I was a kid ... I had this teacher. Taught Calculus. Led the chess club. Guy was incredible. Would play like ... 10 games of chess all at once. You could test him by moving a piece when he was out of the room, and he would know it.

If you asked him a question about what he was doing? He'd repeat the same phrase ... over and over and over again.

If you asked him to explain the concept further?

Well, that happened to my sister one day. He called her stupid.

My Dad was at the High School that evening, tearing people into pieces (metaphorically speaking .... a little ... lol).

My point? Is that if you're not getting a concept? It's not the fault of the student.

It's the fault of the person doing the explaining. If I try to explain something, and it doesn't sink in?

That's my fault, not yours.

I mean, look at that Calculus teacher. He couldn't perform in his chosen field. His chosen field was not Calculus. It was teaching ... and he couldn't do it. And then had the audacity to call the student "Stupid".

Look at poor Bush recently. Newcomer asks some questions, and is called just about every name in the book (as well as myself I might add, even as I stated, several times, I was simplifying some concepts so as to make it easier for him to understand) ... talked over, and though Bush repeatedly asked for help ... pages into the thread? Is still being derided. As a newcomer to that arena.

To me? That's just dispicable cowardly behavior.
 
Last edited:
Mr Kramer’s 8th period calc class? That was her? She had a lot of her mind as the third trimester can be tough for a HS student.
 
ironchef said:
Good advice for us newbies. We can learn from anyone but each one of us has to verify on our own if the ideas make sense. Blindly follow will lead to ruin/blowup.

@destriero probably doesn't think much of @Handle123 but I got some of my best ideas from reading his posts.

On the other hand, @destriero is the real deal however, I am just too dumb to understand his writing. :banghead:
More...

Other thing I would say?

Is be careful of what I call "The Thomas Fairchild" scenario (Sabrina, 1954). Not sure if you've seen the film (fantastic film by the way, one of Bogart's best in my opinion).

Of people close to success, who know just about everything there is to know, and can even mimic the success? But 'fluff their feathers' larger than what is actually "real" ... if you know what I mean.

Ran into that some time ago. Partner and I were working on a problem, and we discovered that this Vendors particular plot? Was wrong. And not wrong by a little bit. Wrong by a lot. So we talked to the Vendor Owner's "right hand man", and he assured us it was right.

"No, no, it's right, I KNOW ... and I've traded that way for X years, and I know " ... and of course, talked down to us, and talked about how long he traded, and who he knew, etc. etc.

Conversations that went on for hours.

So we went back, and checked our math. No ... we were right. They were wrong. So we documented it. Spent nearly a month in research, because this discrepency was going to hit us in a pretty big way. Looked up a lot of background information. Spent a ton of time on it (Time we didn't have, but we had to do it).

Come to find out at the end of the whole process?

The kid traded that way, at what I now refer to as a "bucket prop shop", and couldn't even do that for long enough to stay with it. Our math was right, and other Vendors (competitors) concurred.

So just ... be careful.

To my view? Doesn't even matter, one way or another. Only thing I think anyone should believe, is their P&L.

And after Corzine? Sometimes I don't even believe that ...
 
You found that your "vendor's plot" was wrong yet you don't know that a LEAPS call doesn't benefit from a drop in vol? I hear that you're in the running for a Fields. Really stellar work on that plot, Bro.
 
So looking at my actual postions (not this model ... but my actuals), seeing the run-up.

Long's are having a nice time.

For the sake of this model, that means the Long-Flat portion of the model. Remember, we went long SPY at the beginning of the month.

Which, for the sake of model development, is something you want to consider. NOT what is going to happen in the future. I have what is called a "Non-Predictive" mindset. I don't try to predict the future. How many times have you heard someone say: "I don't know, the market seems high so I don't want to buy it". They are by definition, thinking predictively. Instead, think of segmenting your trade events, into segments of time to consider.

For the Long-Flat portion of the model? I don't think about what "might" happen. The market "seemed" high in 1998. And ripped higher for years afterwards. I've just segmented that particular long-flat into: "X is my time segment, and X is the trade event / entrance signal" or not. The edge comes from other factors. NOT the entrance.

For the second strat? I might adjust those QQQ calls a little early. Not sure yet, still evaluating it as there are some other factors in play.

As always, to see how we are doing on each process? Check out the tabs in the spreadsheet below. Thoughts, questions ... comments? Post 'em below!
_______________________________

Simple Longer-Term Hypothetical Non-Correlative Strategy Processes: https://www.elitetrader.com/et/thre...ournal-that-shows-profit.337303/#post-4951437
Spreadsheet: That keeps track of each trade, each process, and then everything together ...
IF YOU ARE ALREADY AN OPTIONS TRADER, Here is a Disclaimer: I know, I know, I know ... as well as a secondary ... I know ... I know ... I know
 
raVar said:
You are not dumb.
More...
Don't have to be nice to me, I am dumb.

After 7 years, I still haven't graduated from selling/buying single leg options, no matter how many books I read, how many Coursera classes I took, how many question I asked here. :banghead:
 
ironchef said:
Don't have to be nice to me, I am dumb.

After 7 years, I still haven't graduated from selling/buying single leg options, no matter how many books I read, how many Coursera classes I took, how many question I asked here. :banghead:
More...
Or maybe not dumb. Maybe ... Options just aren't your thing.

I saw someone else say this, and I agree. All traders have different situations, psychologies from life experiences, risk tolerances, capital situations, tax scenarios. Had a partner in an EU country? They literally were not allowed to own ETF's in his country. Blew my mind when I heard it. Point being ... there are just differences between all of us.

Remember, what I'm demonstrating here, is just simple Game Theory mechanics, illustrated live. Just principles.

Non-Correlation, or strategy diversification doesn't have to be "options". It could just as easily be a Strategy worked up to be "Long-flat Equities" ... Mean-reverting directionally based, DBA. So it's non-correlated instruments like equities and the Agriculturals. Or maybe three programs; nowhere near Equities. One in the Ags, one in Bonds, one in Currencies.

More than anything else ... it's just those principles illustrated. It doesn't have to be options, if that ain't your bag.
 
Last edited:
Holy crap ... I just realized something, from something that chef said. Just sorta hit me out of the blue.

'Chef mentioned something about being Delta Neutral? People think I'm trying to demonstrate being Delta Neutral here with this?

Uhm.

No.

LOL

Not at all.

It's a problem you run into, when you deal with people who trade Options specifically. I've seen that for years (if not decades) with that crowd. It's a cognitive bias problem; since they focus so heavily on one way to trade.

As I said at the outset, and I have said a number of times since ...

There are a million ways this could be done. Many of them (if not most) better.

It doesn't have to be with options (specifically, notice how all the guys who had problems were Options guys? Yeah ... thus ... the cognitive bias. They have to define everything in terms they know. Though in way, I'm glad we decided on this way ... as I have a bit of 'poke the dog with the stick' in me. Although at the same time, the downside there is it feeds ones narcissistic supply) It could be a bond program; and a mean reverting program in the Agriculturals in a different periodicity. As I said in this thread pages back, our portfolio is built more to Inverse Correlation relationships, with about 5 to 7 (depending on the situation) different pieces (the bulk of almost everything), a long only program (not in equities ... actually, that one can hop in and out), an Equities only program, and a small 5% total weight options program. And all of them try to be in different periodicities, and different markets.

This is simple a demonstration of non-correlation. Not being delta-neutral. Any time periods that are delta neutral ... is merely a happenstance. May I have mentioned being delta neutral in the past? Of course. I can't recall if I did or not, but I may have. Is that the point? No, of course not. Otherwise, I would have titled the thread: "A Delta-Neutral Strategy that Shows Profit". Again, this goes to my previous comments. Since so many specific Options Traders have a really hard time seeing anything outside their world view (Since by definition, their speciality deals with ONE differential equation and it's after-effects) ... they have a hard time seeing beyond specifics, to general concepts. Because their whole world view is BUILT on specifics.

Game theory teaches you there are massive benefits to combining two low edge processes / strategies.

And there is a lot we haven't covered yet.

For instance ... as capital increases, what's going to be the ratio between spreads, and the long-flat.

Hrm?

Yeah, that answer MASSIVELY skews the result.

Will spreads ALWAYS be sold?

Yeah, haven't covered that have we? A little, in that we said we could sell them when the long-flat is flat. But that's it.

Again, an answer that MASSIVELY skews the result.

Remember ... it's always hard to tell what any combination of programs will do, until you have a lot of the specifics. That's why when a FoF / QEP / Institution / AI etc ... talks with an individual Firm or Managers? A very delicate dance begins. The FoF / QEP / Institution / AI needs to know enough ... so as to know how it will fit with their other managers / programs. But they can't know the specifics, because that's Proprietary. So this dance begins of "Tell us enough, so we can know if you are a fit or not. But we need some specifics to know that". "It's Proprietary", which is what the manager WANTS to say ... isn't going to cut it with them. Thus ... the "dance" around the subject.

Regardless of any of that ... Game theory teaches us, that no matter what it is ... tick scalping the /ES or hedging an Fixed-Income portfolio ... combining two or more diversified strategies can come with immediate benefits.

As always, to see how we are doing on each process? Check out the tabs in the spreadsheet below. Thoughts, questions ... comments? Post 'em below!
_______________________________

Simple Longer-Term Hypothetical Non-Correlative Strategy Processes: https://www.elitetrader.com/et/thre...ournal-that-shows-profit.337303/#post-4951437
Spreadsheet: That keeps track of each trade, each process, and then everything together ...
IF YOU ARE ALREADY AN OPTIONS TRADER, Here is a Disclaimer: I know, I know, I know ... as well as a secondary ... I know ... I know ... I know
 
Last edited:
You must log in or register to reply here.
Back
Top