Moneza - Options / Futures Fully Automated Cloud Trading System

[Moneza]

The strategy buys or sells the imperfect 50% binary replication, and if you look at the performance is up 101% in 2022 as of Jul 12, 2022. So clearly, it is not correlated to SPX being in a bull market.

 

[stochastix]

If they are so good wtf they seeking investments? What you have here is snakeoil

 

[Moneza]

The strategy works well with a decent statistical edge. It is not a "holy grail" full riskless arbitrage, it entails risk but delivers profits. What is so wrong with monetizing it? in particular when the capacity is nowhere full?

For reference, we personally do the same trades for our own accounts as well.

 

[Moneza]

Thanks for the explanation, which clarifies what is likely a worthless approach. The whole point of trading/investing is that it is NOT like gambling. And to think that any cloud-based system available to the public, could be ahead of the multi-billions by major firms to capitalize on every mispricing is also unlikely.

Any approach that relies on a given particular structural deficiency is bound to fail at some point. That doesn't mean we can't extract some profit out of it in the meantime (until the edge disappears completely). We try to be really transparent here, and all of the trades as posted publicly so you can see that there is indeed some amount of edge there. In terms of big institutional players, I think there are other spaces where is simpler for them to set up shop and arbitrage minuscule mispricings away. I won't really complain that there are few bread crumbs still available for us retail traders in terms of statistical arbitrage.

 

[Moneza]

Just to leave this here as a reference, the strategy is just a particular implementation of a more general methodology:

- Find a way to compute a conditional Probabilistic Distribution Function some arbitrary amount of time into the future (in this case 3 sessions).

- Extract a rough cumulative PDF from public option prices (using vertical prices).

- Test if the conditional PDF provides an edge across most points in the curve (and in the case of SPX you will notice that a big chunk of it does).

- If an edge is found, pick a point where a system could be easy to implement.

And that is how this particular incarnation of the system works (the specific point in the PDF is right at the center, at 50%)

 

[traider]

The strategy buys or sells the imperfect 50% binary replication, and if you look at the performance is up 101% in 2022 as of Jul 12, 2022. So clearly, it is not correlated to SPX being in a bull market.

Are your results based on actual trading or just simulated fills