Watch HowardCohodas Trade Index Options Credit Spreads

[HowardCohodas]

Howard - how does an IC yield 20% exactly?

I'm sure I've shown the calculations countless times. Let me think. Oh yes, every time a series expires, I show this calculation. Ya think a little effort on your part would answer this question?

I'm only responded to you this time because you gave me an opening I couldn't resist. I probably should have, but I couldn't. One of my weaknesses.

 

[Martinghoul]

Sorry, been very busy... I promise I'll be back tonight.

 

[HowardCohodas]

This thread is past its sell-by date. I think the number of external comments should be limited to 10 a day and we let him get on with it.

I was thinking I might open a second journal thread for journal entries only and keep this one for those who want to educate me or amuse themselves or both.

I've still got things to learn, but the informative content here has been sparse of late. And I'm becoming weary of some of the repetitive stuff, accusations without citations, childishness, etc.

 

[HowardCohodas]

And to be fair to Howard he does answer questions when they are asked but he doesn't repeat himself so if your question has been asked before and you think Howard is being evasive tough 5ht. Go and look.

Thank you.

 

[tar]

I was thinking I might open a second journal thread for journal entries only and keep this one for those who want to educate me or amuse themselves or both.

I've still got things to learn, but the informative content here has been sparse of late. And I'm becoming weary of some of the repetitive stuff, accusations without citations, childishness, etc.

.

 

[HowardCohodas]

.

Thanks.

 

[meanreversion]

I'll be upset if I'm not on your ignore list.

 

[scose-no-doubt]

This is called being results oriented, and is stupid.

No it's called nothing new has come up in the past x pages of silly flaming and constant reaming off of the same ideas and opinions post after post after post.

Why post if you have nothing new to add to the thread? Why continually post questions/problems that have already been addressed?

Ghey much?


Lets save a everyone a bit of time and save the post count in the thread.

Anyone who doesn't think that Howard strat, as it currently stands, is a loser in the longer term should rep this post.

*even though I don't have the ability to rep my own post, I wouldn't if I could.

 

[HowardCohodas]

I'll be upset if I'm not on your ignore list.

No such luck. You are worth every bit of the trouble you cause me.

 

[meanreversion]

It's only cos I've got >2,000 posts, otherwise I know you wouldn't give me the time of day ..

 

[scose-no-doubt]

It's only cos I've got >2,000 posts, otherwise I know you wouldn't give me the time of day ..

 

[HowardCohodas]

It's only cos I've got >2,000 posts, otherwise I know you wouldn't give me the time of day ..

I probably deserve that.

 

[HowardCohodas]

11 JAN 2010 Trading Plan

11 JAN 2010 Trading Plan

The Dashboard above informs me as follows:
Opportunity - Takeoffs are optional
Spread #61 is unpaired. Opportunity to form an Iron Condor.

Spread #69 is at 100% of it's potential profit. Opportunity to roll.

Jeopardy - Landings are mandatory
No spreads show excessive probability of touching. Yellow in gauge.

Spreads #75 & #76 have 2 days remaining to expiration suggests caution. Yellow in gauge.

Four spreads show slightly negative return. #76 is the only one for some attention because in last week of trading.

New Opportunity
None

 

[Martinghoul]

Unfortunately, due to various constraints, I haven't done enough work on HC's "strategy". At least not to the point of quantfying things as rigorously as I would like.

However, I am pretty sure I see what's going on. Namely, HC is data-mining. His strategy is governed by a couple of chosen parameters. The values that he's currently using make the strategy work in the present mkt regime (VIX falling; mkt rallying; smile getting flatter). The strategy with the particular parameter values chosen will stop working when the regime changes.

You can come up with all sorts of strategies like this, but unfortunately they're rather useless, as you have no way to forecast mkt regimes and thus no way to determine parameter values in advance.

Anyways, I am sure it was probably well clear to people a while ago. I was hoping that I'd be able to actually generate some numbers to demonstrate it, but, unfortunately, I am snowed at the mom.

 

[HowardCohodas]

Unfortunately, due to various constraints, I haven't done enough work on HC's "strategy". At least not to the point of quantfying things as rigorously as I would like.

However, I am pretty sure I see what's going on. Namely, HC is data-mining. His strategy is governed by a couple of chosen parameters. The values that he's currently using make the strategy work in the present mkt regime (VIX falling; mkt rallying; smile getting flatter). The strategy with the particular parameter values chosen will stop working when the regime changes.

You can come up with all sorts of strategies like this, but unfortunately they're rather useless, as you have no way to forecast mkt regimes and thus no way to determine parameter values in advance.

Anyways, I am sure it was probably well clear to people a while ago. I was hoping that I'd be able to actually generate some numbers to demonstrate it, but, unfortunately, I am snowed at the mom.

I can certainly empathize with being over extended.

During the time I have traded this strategy with real money, the only time frame I feel is relevant to report, we have had a down month, a sideways month and several up months. I can detect no difference in performance against this variable.

Also during the time frame I have traded this strategy, VIX has undergone little change, so this is my main concern. Some paper trading results surrounding May "suggests" that PoT adjusts properly. After all, volatility is one of its components. However, I will not be confident until I trade through higher VIX.

Regarding choice of parameters. First, I did a sensitivity analysis to see if results changed dramatically with small changes in parameter. They did not. Second, I validated each back-test of a rule/parameter candidate set on data that the strategy had never seen. This set was randomly selected for each iteration. I'm not certain what else I could have done to avoid "curve fitting" or "data mining."

Therefore, I'm not as confident as you that we have solved the mystery of my strategy.

 

[j b]

I thought it was already established that PoT is calculated from implied vol, so it doesn't give any information not already priced in?

You should definitely have a look at an options textbook - reading one that is, not writing one...

 

[arabianights]

Howard old chap, you say you'll give up after 3 events... over an infinite time that will almost surely happen. So this strategy is flawed, right?

 

[Martinghoul]

Yes, HC, unfortunately I can't put numbers arnd my assertion (yet).

The most important thing isn't VIX per se. What's important is in the attached graph.

As to the sensitivity analysis, it's rather meaningless, innit? In a particular regime we're in, I can imagine it doesn't really matter whether your parameters are tweaked a bit. As to the out-of-sample testing, that's actually quite interesting. Given you have done this, are you then suggesting that your specific rule/parameter combination will work in any chosen mkt regime? Finally, what do you mean by a rule/parameter candidate? Are there several? How do choose one over another?

 

[amit1986]

Howard old chap, you say you'll give up after 3 events... over an infinite time that will almost surely happen. So this strategy is flawed, right?

I was not aware that "almost surely" meant that the event will occur with probability = 1 !! :-0

 

[arabianights]

I was not aware that "almost surely" meant that the event will occur with probability = 1 !! :-0

Which is why I linked it as not everyone is as good at maffs* as me, and I meant something specific

*Let's face it, I'm atrocious at english etc... well actually I'm damn good at english, but at maths etc I'm a ****ing prodigy, so comparatively...