WC,
Given your experience of derivatives, but especially your status as a ‘scientist’, I am totally mystified as to your position. If it’s convenient, perhaps you could address a few points.
“the realities of the strategy will unfold with time”. These were known at the outset. Subsequent profit or loss is irrelevant.
“mathematically the data series is not complete yet”. Are you suggesting success or failure will only be determined at expiry? Yes, there will be a ton made on theta, but potentially a ton loss on the underlying.
Re your 18 months project. Were the results published; what myths were disproved?
“data series and/or the analysis, can skew the result”. Doesn’t the data/analysis determine the result?
“to prove the hypothesis…a very long data series is required”. No, it’s not; this is disproved when there are no funds left in the trading account. The theoretical is only relevant in a theoretical context (if you see what I mean).
“sell options when the volatility is very high…buy…when…low. I'm happy with my delusion that there is an edge to this strategy” This has been stated many times in this thread. I don’t think this constitutes an ‘edge’ – it’s fundamental.
“the world is an eclectic place”. Do you subscribe the aspect of quantum physics (?) that contradicts the Laws of Identity, Non-contradiction, and Excluded Middle? That’s the only way I can view your interpretations.
“From your perspective you are probably right.” Or probably wrong. The point is we are trying to establish validity one way or the other. If I’m wrong, I’d like to know why – it may save me from losing a lot of money.
I am encouraged that the spirit of the French Enlightenment endures, and did not die with the fatuous remarks of Edith Cresson (‘all Englishmen are queer’).
Grant.
