Conceptually define your trading edge

[BlueWaterSailor]

1. Convexity.
2. The historical excess of implied volatility versus realized volatility.
3. The historical performance of calendar spreads under volatility term structure inversion.
4. Reversion to mean under strictly defined conditions.
5. Scheduled event mispricing.
6. Regulatory change arbitrage.
7. Fading MaximumPossibleSuffering.

Can't say I get #7 (shorting the Ulcer index? Going contrarian at price/volume extremes? could be anything), but #3 just made a little light go on. I've been testing some theories I have around vol term structure recently, and... I'm just going to say that it was quite helpful, and thank you.

 

[maximumpossiblesuffering]

Can't say I get #7 (shorting the Ulcer index? Going contrarian at price/volume extremes? could be anything), but #3 just made a little light go on. I've been testing some theories I have around vol term structure recently, and... I'm just going to say that it was quite helpful, and thank you.

Number 7 was a joke, as my ET handle is MaximumPossibleSuffering. First I list several plausible positive expectation ideas, leaving the best one for last!

 

[BlueWaterSailor]

Number 7 was a joke, as my ET handle is MaximumPossibleSuffering. First I list several plausible positive expectation ideas, leaving the best one for last!

Hah! I thought it was the other way around... that you had magically figured out the MPS point for an arbitrarily-large number of traders, made millions shorting the hell out of their bolt for the exits, and named yourself after that success story. Maybe I have too active of an imagination.

But I really like your list; it matches my own quite well. Especially thanks to the bump on #3, which I'd been struggling with - and for which you've just added a little bit of lube to the gears.

Not too awful for a backtest, I'd say...

 

[maximumpossiblesuffering]

Hah! I thought it was the other way around... that you had magically figured out the MPS point for an arbitrarily-large number of traders, made millions shorting the hell out of their bolt for the exits, and named yourself after that success story. Maybe I have too active of an imagination.

But I really like your list; it matches my own quite well. Especially thanks to the bump on #3, which I'd been struggling with - and for which you've just added a little bit of lube to the gears.

View attachment 208772

Not too awful for a backtest, I'd say...

A backtest showing a gain of $20,000,000? Better than a poke in the eye with a sharp stick!

 

[maximumpossiblesuffering]

Conceptually define your trading edge, skipping the numbers, and just defining the concept.

Thanks for creating this thread. It has stimulated my idea flow and has caused me to reexamine several strategies from a new perspective.

 

[Calmness]

Thanks for creating this thread. It has stimulated my idea flow and has caused me to reexamine several strategies from a new perspective.

I am glad its helpful..!!

 

[BrooksRimes]

1. Convexity.
2. The historical excess of implied volatility versus realized volatility.
3. The historical performance of calendar spreads under volatility term structure inversion.
4. Reversion to mean under strictly defined conditions.
5. Scheduled event mispricing.
6. Regulatory change arbitrage.
7. Fading MaximumPossibleSuffering.

For further details, send $5.00 or a bottle of booze to:

MaximumPossibleSuffering
C/O Groundskeeper Leroy
Easy Time Trailer Park
123 Lazy Daze Lane, Number 2
Yakima, WA 98908

I thought Lazy Days was in Florida ...
https://www.lazydays.com/locations/florida/tampa-florida/rv-resort
I used to travel fulltime in a motorhome and visited Lazy Days.
Was trading while traveling right up to September 2008 and then something happened ... it wasn't good.

 

[maximumpossiblesuffering]

I thought Lazy Days was in Florida ...
https://www.lazydays.com/locations/florida/tampa-florida/rv-resort
I used to travel fulltime in a motorhome and visited Lazy Days.
Was trading while traveling right up to September 2008 and then something happened ... it wasn't good.

I used to live in Florida. However, my “send $5.00 or a bottle of booze to...” was tongue-in-cheek. If someone were to comment they sent money or booze to the “address” I provided, My response would have been “We were trespassed by ‘Ye Olde Landfill’ and that a new address would be provided when known!

 

[BrooksRimes]

I used to live in Florida. However, my “send $5.00 or a bottle of booze to...” was tongue-in-cheek. If someone were to comment they sent money or booze to the “address” I provided, My response would have been “We were trespassed by ‘Ye Olde Landfill’ and that a new address would be provided when known!

I know. Your post was funny.

 

[interested]

1. Convexity.

Generally familiar with the math concept but how does it apply to trading?