Quote from talontrading:
bwolinsky i have been reading your posts carefully, in spite of the sound advice from the board to ignore you. i am pretty certain you have no actual trading experience and your knowledge seems to be heavily based on the CFA prep materials (would it surprise you to find out I know that? it shouldn't.)
You still don't get it. I'll deal with the art question next, but I do not expect people to follow me and I don't need this board's approval. I am not starting a "Bwolinsky trading" forum to show everyone how smart I am and what great trades I make. I am not providing backtests because the point of this thread is to motivate people to do backtests, to discuss some of the issues that arise, and to support some good critical discussion. What I'm offering here is hopefully some insight into how to think about market related issues, and since I have done this for a long time and this has been my sole source of income for quite a while... I think I do understand a few things.
Let's look at your posts. This post will be the "correcting bwolinsky post:
First, English:
I already knew it would be a waste of time from the start when he stated he would not verify or even be providing backtests to his ideas, so it was all for not from the start
You mean "all for naught".
There are no mentions of greeks here, so believe me when I tell you that he doesn't use option volatility spreads to form his strategies. He uses them to hedge based on his idea of the market's direction, which does not imply any quantitative analysis oncesoever.
I'm hope you aren't a native English speaker. you mean "whatsoever". Why would there be mention of greeks in this thread? The purpose of this thread is not to show how smart I am but to discuss some fundamental concepts. For the record, we trade a program of delta neutral option spreads, constantly adjusting the hedges and position sizes to manage gamma exposure. Anyone who would think that these are a directional call has no clue about trading. They are a call on the direction of volatility, not the direction of price. And, btw... we're pretty damn good at hedging. We were basically short vol constantly for the last 2.5 years and still made money with this program. The basis of this is some modeling work we have done with multiple timeframe volatility expansion / mean reversion, so I would argue this is a quantitative approach.
His basis is an addition or deletion to the S&P 500 index, thus having nothing at all to do with quantitative analysis, fundamental analysis, and even technical analysis.
Do you think this is the only way I trade? I guess I wasn't clear but less than 5% of trading capital is deployed to this idea.
slightly based on fundamental analysis because it is linked to the decisions of Standard and Poors in what securities are recommended in the underlying index. That part is slightly dependent on fundamental analysis, but you are not actually doing the fundamental analysis.
I think you could be excused for a rookie mistake here if we hadn't already discussed this in the thread. you are too busy finding things to pick at and missing the important points.
Yeah, I got that, see my edit. I wouldn't characterize the system as uniquely robust without at least 10% in each position. As you can see the DD has been very low.
I hired interns for a few summers and this reminds me of a comment I would expect a smart college kid with no experience to make... if it came at the end of the summer there would be no chance he'd be getting any kind of offer.
I think you're saying that because the drawdown has been low more than 10% of capital should be in each position, otherwise you "wouldn't characterize it as uniquely robust." Is that what you're saying? If so, I can't even begin to address your issues and complete lack of understanding.
I won't really accept no for an answer. Not doing so will be proof you haven't completed enough due diligence, or about actually completing a backtest. If you had, you would have posted. Also, if the results were good you would be doing much more than small positions, which would imply you are committing money to a two week old system
1. Who the F*CK are you that anyone cares what you will or will not accept? What a little joke you are.
2. If the results are good I would still be doing small positions. Real traders know this, but you certainly didn't learn that from your books. Posting a system on Collective2 doesn't make you a trader dude. lol.
So at 10% of equity you shorted PCLN at 166 now at 173.73 and bought SPY all on November 5th on the open at 105.66 now at 109.57. So .1*(166/173.73-1)+0.1*(109.57/105.66)= -.44494%+.37005%. Net off 7.489 basis points, or 0.0007489, or 0.07489%. On a $200,000 portfolio without transaction costs= ($149.77).
WTF? Who writes "7.489 basis points, or 0.0007489, or 0.07489%"? Only someone very impressed with themselves.
Quote from talontrading:
I'm not too excited about relative returns. I think it's one of the great scams of the industry. "Well the bad news is we lost 18% of your money this year but the good news is we outperformed the S&P 500 by 25 basis points."
Quote from bwolinsky:
Perfect statement to prove you have no idea what you're talking about. About does it for me...
I don't even understand your point, but my point was I have to make money to pay bills and salary. I don't make money from management fees which I can get by beating the SPY by 10 basis points.
And bwolinsky, it might surprise you to learn that we're no slouches with them there numbers around here. We also run several arbitrage programs and do two separate pairs trading programs that do require some calculations. I believe even you would accept them as quantitative, though I will not be posting every trade to a discussion thread so people will think I am very smart like you do.
I think you're a reasonably smart kid, but your attitude sucks and your lack of experience shows through. Good luck though... try not to be such a tool.
ok... ok... one more... this one is great... sorry i pulled it from the BWOLINSKY GURU TRADING THREAD:
It's not stupid all the time. If I see a piece of data that insiders know about that I won't know about till it's released, then it becomes a smart market. Till then, just as in the 2nd quarter of 2008, there was never any indication of poor economic data until after we had crashed.
It's the investing public's fault that they hold professionals responsible for knowing key economic data before it is released. You can only do so much, and we were well off our highs before there was even a negative quarter in GDP.
Dude?? Really??? Come on.... really?!? OMFG, didn't you get the memo? The market is the leading indicator dude! That's why people like you don't make money. Geeze.
I hope you don't have "years of industry experience" as your thread claims (actually it's ok if you do because there are a lot of douchbags in the money management industry) but I do hope you "manage millions of dollars" as you also claim. The market needs traders like you to feed the rest of us so please, no matter what anyone says, keep trading and deploy more than 10% of your capital on each idea. It's a great plan!
Your lack of understanding and respect for getting through Level of the CFA Curriculum shows you have no idea what you're talking about, nor does it require any further response as evidence by PCLN's performance today.