Kudos to MMs

Quote from Maverick74:

So no stops at all on this position?

Nitro....is 1175 your current cost basis?

I'm asking serious questions. It's hard to follow this thread without knowing this information.
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I told you. Mutual simultaneous termination. Tyler & Nitro.
 
Quote from Pekelo:

I like the idea of FAIR VALUE

I also like ideas like anti-gravity, forever young and time machine, but I don't actively wasting time and money on discovering/developing them....
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to each his own, I have zero interest in fixing a car, doesn't mean I can't appreciate someone who is good at that. I don't think FV is as complicated as the OP is making it, he should hang out with Robert Schiller to get really confused.



http://edwardothorp.com/id9.html
 
Quote from kinggyppo:

to each his own, I have zero interest in fixing a car, doesn't mean I can't appreciate someone who is good at that. I don't think FV is as complicated as the OP is making it, he should hang out with Robert Schiller to get really confused.



http://edwardothorp.com/id9.html
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Thanks that is a nice site! One of the treats of this thread is occasionally someone posts something that truly makes my day :) :)

[My] "FV" is far more complicated than I let on here. The dimensionality of markets is very high, and extremely dynamic. But it doesn't matter, either it has predictive value, or it doesn't.

[Retail] Traders have problems with actually trading something like this because trading it may violate so many of their rules [Martingale etc]. The "greatest trade ever" by Paulson required enormous patience and taking enormous pain. But it was right. What may not work for a trader with a $1M account may work for one managing $1B. Pay attention to the numbers only, not the way I trade it. You may find a way to trade it that makes more sense than the way I do! In this case, it may pay to "blame the messenger" !

For people on ET, that can't take too many losses to make one giant gain, you may have to discover the correlation lag in FV. Extremely hard to do.
 
there is an article somewhere where thorp explains how he basically
invented stat arb in the 70s, he explains it so simply you would think
he was explaining how to take a dog for a walk, amazing intellect.
 
Quote from nitro:

[Retail] Traders have problems with actually trading something like this because trading it may violate so many of their rules [Martingale etc]. The "greatest trade ever" by Paulson required enormous patience and taking enormous pain. But it was right. What may not work for a trader with a $1M account may work for one managing $1B. Pay attention to the numbers only, not the way I trade it. You may find a way to trade it that makes more sense than the way I do! In this case, it may pay to "blame the messenger" !

For people on ET, that can't take too many losses to make one giant gain, you may have to discover the correlation lag in FV. Extremely hard to do.
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The acid test, of course, is whether or not you do end up making that one giant gain, and its size in relation to the sum of your losses.
 
For all you guys that believe that I am on an impossible quest:

""“The combination of precise formulas with highly imprecise assumptions can be used to establish, or rather to justify, practically any value one wishes . . .Calculus . . . [gives] speculation the deceptive guise of investment," - Benjamin Graham.
 
Quote from johnnyqpublic:

The acid test, of course, is whether or not you do end up making that one giant gain, and its size in relation to the sum of your losses.
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Or course as it relates to me. But my point is that there are two aspects that should be of interest to a person:

1) Is the premise of FV valid?
2) Is the way that I trade FV valid?

Those two things are separate, and contain vastly different information. 2 has to follow from 1, but 1 stand on its own without my actual ideas as to how to capitalize on 1.
 
Goldman Sachs is a bit behind the curve, or do they first use the information, then disseminate it? Even 1250 is questionable, at least as per FV this moment. If it weren't for world governments, we would be at SPX 1080. That is the hardest part of trading FV, the interventions [exogenous events]. Soros fought the BOE and won. I don't know what happens this time...

"Goldman Cuts 2011 S&P Price Target From 1400 To 1250"

http://www.zerohedge.com/news/goldman-cuts-2011-sp-price-target-1400-1250
 
Quote from nitro:

Or course as it relates to me. But my point is that there are two aspects that should be of interest to a person:

1) Is the premise of FV valid?
2) Is the way that I trade FV valid?

Those two things are separate, and contain vastly different information. 2 has to follow from 1, but 1 stand on its own without my actual ideas as to how to capitalize on 1.
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Of course the answer to #1 has everything to do with how "FV" is defined. There is of course an immediate fair value that you can figure for SPX and S&P 500 futures, based on index constituent weightings, and premium.

However I think you believe you can define a "more fair" value that the market will eventually revert to. Thus the market is not usually efficient, but sometimes will honor the efficiency of your "FV". Have I misunderstood?
 
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