Kudos to MMs

Quote from nonlinear5:

When was the last time the FV was below the market price? Seems to me your model has a permanent long bias.
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It has been a very long time, probably closing in on six months I would have to check.

I completely agree with its assessment that the market is undervalued by close to 100 points. The market sell-off in the last five days or so is a one off event based on circumstances never seen and inconceivable to most people until just a few days ago. One way to think about it is to ask where SPX would be if the debt celing was raised without the political infighting. I am completely comfortable with at least 1372.

I could adjoin ad-hoc rules to the system to handle this [these] situation, but that is the wrong way to go about it imo. The question is one of money management: should I have added, or should I have overridden the system and taken profits in light of a possible rare exogenous event? That is a question of discipline, and imo I did the right thing by adding. There is no way to code for irrationality except by ad-hoc rules that exist more on the human level than at the level of computer code.

It would be great if I had a program that went and read newspapers and assessed quantitatively the odds of exogenous events and somehow priced that in, but that is not happening any time soon. I have heard of these sorts of programs, but I suspect they are relatively sophisticated AI programs...

Another possibility is to add some sort of TA module and weight that accordingly, but I suspect that this addition would at best break even in the times it kept me out of the market correctly, and the times it didn't incorrectly.
 
Looking to go long at 1272, then 1260 ish then 1242. Also long again on a cross from below at 1300.

This time will be using 75 delta options
 
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