At least you can recognize the first point: the lack of black swans can be a black swan itself. And I don't necessarily disagree with your methodology or your reasoning behind it.
But as Taleb would say, your personal results are nowhere near statistically significant. So even if you are 'intellectually sound' in your theories, a empirical skeptic would have to wait for the results that you provide before determining whether or not you truly have an edge.
You know where I think Taleb goes wrong? When has their even been a black swan that has been POSITIVE for the market. When does the market suddenly jump up 20% in a day? Never. But it sure has gone DOWN by that much. Black-swans have always been psychological effects driven by FEAR. His methodology is to basically buy options that he claims are mis-priced because people call them high-sigma events, when fat-tails are actually more common than we claim. However, the fat-tail to the negative side is far larger than the positive. So why not just WAIT until markets start trending down before buying the insurance options? You would save a whole lot of premium. Hell, even October 1987, which was considered a very 'RANDOM' event, was pre-cursed by a very pronounced down-turn.
I find Taleb to be sort of funny. He writes off all other managers and their results, claiming they have been fooled by randomness, but he has yet to generate a statistically significant record himself. Furthermore, the ideas that Taleb has presented are no more 'statistically significant' than many other ideas. Can I not justify his presences as a factor of statistics, just as he justifies Buffett's existence? If every year, half the theorists were dropped from our pool because their theory no longer fit the model, eventually we would be left with a few theories that fit really well. But that doesn't exclude the fact that a black-swan could come along and disprove these theories in one swift blow. As you said, the black swan of NO black swans ever coming again would prove Taleb both right and very wrong.
Taleb's OWN ideas should preclude him from claiming any sort of significance in his own theories. How ironic.
So I am not trying to say that you are in anyway wrong in the method you are taking. I just find all of this highly ironic. Fundamental theory does not supersede statistical significance. Nor does statistical significance supersede fundamental theory. They MUST go hand in hand. "It works in theory, but does it work in practice" must be married to "it works in practice, but does it work in theory." Does your methodology satisfy both?
Sorry for the thread jack. Carry on.
