What is the best way to hedge a long SPY position against a future market crash?

botpro said:
BS, you shouldn't easily believe everything written by some incompetent authors.
And it seems to me that this paper has never been accepted for publication,
it's just an incomplete "work-in-progress" draft from the year 2009.

In an other paper from 2012 they make these abstruse (because contradictionary and illogical) claims:
"The average implied volatility of the constituents is 32.7% and the average
realized volatility is 31.8% which yields a volatility risk premium of 0.9%.
The average implied volatility of the index is 19.2% and the realized volatility
amounts to 16.7%, which yields a volatility risk premium of 2.5%."

Unbelievable! These relations can't be true, not mathematically!

And: the price of "risk premium" isn't determined by what they compute,
it is simply the premium of the call and put in the market.
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@botpro You have never even traded real options!!

You have only traded data that you faked. You have no idea. Go get a real account and do some real trades and then come back and tell me if it is cheap or not
 
Chubbly said:
@botpro You have never even traded real options!!

You have only traded data that you faked. You have no idea. Go get a real account and do some real trades and then come back and tell me if it is cheap or not
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You are talking BS, I of course have traded options, have even 2 accounts (had even 3!), and then even wrote an options system.
But I admit I did not make any profits because when I traded I did it discretionary, without a real system or auto-trading. But this is going to change as I now have a good system.
And be careful of accusing me of faking data, I don't need to fake any data!
You ignorants simply don't understand what forwardtesting a system with GBM data means.
Backtesting is nothing but curve-fitting, and that is the only thing you know!...
 
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botpro said:
You are talking BS, I of course have traded options, have even 2 accounts, and then even wrote an options system. But I admit I did not make any profits because when I traded I did it discretionary, without a real system or auto-trading.
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Ya, a total blackbox that you feed fake data that only you generate and it makes 1000% a year....lol

Really if you have a system that makes 1000% a year what are you doing here?
 
Chubbly said:
Ya, a total blackbox that you feed fake data that only you generate and it makes 1000% a year....lol
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BS, it is tested with GBM data. GBM does not mean fake data. It means modelling the real market.

Really if you have a system that makes 1000% a year what are you doing here?
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It is an options system. I'm offering the system here for funding as it needs a relatively big account for application in the market, details here:
http://www.elitetrader.com/et/index...rading-long-only-options-system-sys13.297294/
 
botpro said:
BS, it is tested with GBM data. GBM does not mean fake data. It means modelling the real market.


I'm offering the system here for funding as it needs a relatively big account for application in the market, details here:
http://www.elitetrader.com/et/index...rading-long-only-options-system-sys13.297294/
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If you are selling a system on this site you are violating the terms of service.

People pay to advertise. It isn't for free

http://www.elitetrader.com/et/index.php?help/terms
Advertisements and solicitations of any kind are strictly prohibited unless you are a paying site sponsor
 
Chubbly said:
Ya, a total blackbox that you feed fake data that only you generate and it makes 1000% a year....lol

Really if you have a system that makes 1000% a year what are you doing here?
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Claiming it is produced by a maths researcher, the system has a MaxDD -13.14% in one year for the #38, however its stats shows a Mean MaxDD is only -3.28%!

How wonderful the system performance is!!! lol

Q

http://www.elitetrader.com/et/index...ions-system-sys13.297294/page-20#post-4241294

# PL PLpct AV avgRTT/d MDDpct
38 7314204.54 731.42 8314204.54 21.77 -13.14
...
Mean: 6843269.60 684.33 7843269.60 20.92 -3.28
StdDev: 1257842.27 125.78 1257842.27 1.36 1.54

UQ
 
botpro said:
You are wrong, I'm offering this with the permission of the site owner; I'm paying for this!
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Well, your thread has been closed so you weren't paying much. Stop advertising your system.
You are totally off topic of this thread
 
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