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How to never get an account wiped out?
- Thread starter gg12
- Start date
05/16/07 -40.3%
I underestimated the potential of the DOW to go up.
My forecast of the vola has been lower based on statistics.
The loss shows me that I have to take more care about that feature. Therefore I decided to improve my system by adding a vola related forecasts.
DOW vola forecast close to close (daily)
It's measured in absolute values i.e. 100 means that the DOW will change it's value by +100 or -100 points to the close.
After +103 points the forecast expects two low vola days (<50 and <25 points).
I underestimated the potential of the DOW to go up.
My forecast of the vola has been lower based on statistics.
The loss shows me that I have to take more care about that feature. Therefore I decided to improve my system by adding a vola related forecasts.
DOW vola forecast close to close (daily)
It's measured in absolute values i.e. 100 means that the DOW will change it's value by +100 or -100 points to the close.
After +103 points the forecast expects two low vola days (<50 and <25 points).
Attachments
The serial correlation of absolute cl to cl changes, - I call them absolute daily velocity (ADV) - , is bigger than the changes incorporating the (-) sign.
Serial correlations as of yesterday for 65 measure points:
Leg 1 -9.8% (vs -2.9%)
Leg 2 -16.9% (vs +10.8%)
That means that after a high vola day (velocity) there follows la ow vola (velocity) day.
Serial correlations as of yesterday for 65 measure points:
Leg 1 -9.8% (vs -2.9%)
Leg 2 -16.9% (vs +10.8%)
That means that after a high vola day (velocity) there follows la ow vola (velocity) day.
Attachments
Another winning day.
05/21/07 +9.8%
Risk ca. 40% of the account with a probability of 15% to be wiped out. That are figures in hindsight, because I collected the information from traded option prices.
My performance is an average of 2.5% per day since 93 days!
My target is to reach 3.0% per day as soon as possible in this quarter.
Therefore I need some additional 9 - 12% days.
05/21/07 +9.8%
Risk ca. 40% of the account with a probability of 15% to be wiped out. That are figures in hindsight, because I collected the information from traded option prices.
My performance is an average of 2.5% per day since 93 days!
My target is to reach 3.0% per day as soon as possible in this quarter.
Therefore I need some additional 9 - 12% days.