What will HowardCohodas's month on month return be for March?

Howard's March Month on Month Return

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HowardCohodas said:
If you look at my humble pie thread, you will see that I allocate my trades in three dimensions, time, space and direction. With respect to time I trade the weeklies, the near month and the month after the new month. With respect to space, I trade both the NDX and the RUT which are not as highly correlated as say the NDX and the SPX. With respect to direction, I am in both legs of an Iron Condor about 90% of the time.

Therefore, as time passed and expiration dates came, I simply did not open as many new spreads as were closed or expired to raise my cash reserves. When the nearest expiration passed my stop loss and some of the circuit breakers did not fire because I ran out of cash, I began liquidating some spreads (both sides of the Iron Condor) that were further out in time that were profitable. One trick I did not think of until just now 😱 was to close the Iron Condor as a trading unit. I wonder if that would have avoided my lack of cash problem.

Why is it suicidal. If the circuit breakers had been able to fire, even if I had slipped beyond my 20% loss limit trigger to 30% or even 40%, I would still have been better off.

Back atchya by friend. 😎

Actually, documenting March is in process.
Click to expand...
Howard, you're not making sense. I lack the energy to argue with you, since it's been a long and very painful day.
 
last one OK mods?


a song to Howard Cohodas by DashRiprock and Meanreversion
(sung to the tune of "Sweet child of mine" by Guns and Roses)

http://www.youtube.com/watch?v=Xurq0_ik3SE&feature=fvsr

He's got a vol smile that seems to me
Reminds me of childish strategies
Where everything
Expired without difficult - y .....

Now and then, in the marketplace
you can vol arb away, at a leisurely pace
this definately isn't wrong
he'll even train you and then show you why-y

whooooo ooaaa oo ooaaa Volatility smiless
Whooaaa oh oh ooh Volatility smiles


look at the risk, with your own mince pies
your bound to end up in some pain-ain
i think its fair, if I may surmise
that your sharpe ratio won't remain
you'll end up broke, and with an antitrust case
your face will be shown worldwide
because you didn't listen
to DashRiprock
when he told you that you were a plonker

whooooo ooaaa oo ooaaa Volatility smiless
Whooaaa oh oh ooh Volatility smiles
 
Howard, your trading system is very much like various examples I have read in textbooks whilst taking courses in options pricing during my degree. Professors occasionally used credit-taking systems like yours to help students understand various strategies one can develop with options (e.g., condors).

Ask yourself one thing: if it were so easy to simply take credit from options, wouldn't the big boys at Goldman or JP Morgan be doing it? Why would they pay large bonuses to rocket scientists to develop option arbitrage models?

Your system, whilst profitable, is NOT an edge. It's the kind of system that can yield good returns over a sustained period of time, however, one bad period can completely wipe you out. You simply cannot assume implied volatility will be constant over time.

The only way, I believe, you can develop a true edge is by developing a precise volatility forecasting model (start with GARCH). It doesn't have to give you an exact forecast of volatility, but it does need to provide an accurate range for you to work with.
 
HowardCohodas said:
Running a Monte Carlo approach using the probability of success and the levels of return available and testing it against the hypothesis that it is random sounds like a worth while experiment.

Thanks for the idea. "Fooled by Randomness" is not just the title of a book.
Click to expand...

I was just about to post and reccommend that you read that book.

The problem that you might face of course is that data you use in your monte carlo simulation may not actually represent what could happen in reality. The main problem is that you may tend to underestimate the magnitude of losses. Its often a problem when trying to model these kinda things.

I really do reccommend Taleb's book.
 
Martinghoul said:
Howard, you're not making sense. I lack the energy to argue with you, since it's been a long and very painful day.
Click to expand...
Perhaps when your energy returns it will make more sense. I try to be clear. I'll reread it to see if I can make myself clearer. I usually rewrite my posts two or three times before posting in order to be as clear as I am able. Sorry I failed this time.
 
amit1986 said:
Howard, your trading system is very much like various examples I have read in textbooks whilst taking courses in options pricing during my degree. Professors occasionally used credit-taking systems like yours to help students understand various strategies one can develop with options (e.g., condors).

Ask yourself one thing: if it were so easy to simply take credit from options, wouldn't the big boys at Goldman or JP Morgan be doing it? Why would they pay large bonuses to rocket scientists to develop option arbitrage models?

Your system, whilst profitable, is NOT an edge. It's the kind of system that can yield good returns over a sustained period of time, however, one bad period can completely wipe you out. You simply cannot assume implied volatility will be constant over time.

The only way, I believe, you can develop a true edge is by developing a precise volatility forecasting model (start with GARCH). It doesn't have to give you an exact forecast of volatility, but it does need to provide an accurate range for you to work with.
Click to expand...

👍

you know the stupid thing is that if just put a moving average on the VIX and traded accordingly it would turn into something close to credible.
 
amit1986 said:
Ask yourself one thing: if it were so easy to simply take credit from options, wouldn't the big boys at Goldman or JP Morgan be doing it? Why would they pay large bonuses to rocket scientists to develop option arbitrage models?
Click to expand...

I would reli like to hear the answer to this?
 
Or again, as I asked before... Howard, why are people buying these spreads (or their underlying legs) from you? They don't think they're overpriced. Where is the money coming from?

You should try making prices sometime... would put you in right frame of mind to understand the deep paranoia of, yet respect for, your trading counterparties.
 
Yeah, couldn't keep away...which got me to thinking...we're all doing Howard a big favour and wannabe traders to come a potentially massive disservice. And we thought he was stupid…

Every post we make in response on one of this guy's threads is free advertising for something the majority of us recognise as a disaster waiting to happen. And he’s playing us all rather well by keeping the traffic levels up on his threads, regardless of the veracity of the challenges to his ‘system’, he carries on making responses that simply beg another slough of replies…. Smart cookie our Howard.

It’s tough to refrain from challenging the plain wrong and to allow falsehood and stupidity to go unchecked, but the sooner the traffic dries up, the better for all. I have no idea who the author of this piece is, but t2w staff and admin probably need to take note of this outside view of t2w’s complicity, perceived if not real, in this malarkey.

http://daily-track-record.com/6/archives/1582
 
Why doesn't everyone start trading index credit spreads? Howard seems to think it's all a bit of a no-brainer.
 
TheBramble said:
Yeah, couldn't keep away...which got me to thinking...we're all doing Howard a big favour and wannabe traders to come a potentially massive disservice. And we thought he was stupid…

Every post we make in response on one of this guy's threads is free advertising for something the majority of us recognise as a disaster waiting to happen. And he’s playing us all rather well by keeping the traffic levels up on his threads, regardless of the veracity of the challenges to his ‘system’, he carries on making responses that simply beg another slough of replies…. Smart cookie our Howard.

It’s tough to refrain from challenging the plain wrong and to allow falsehood and stupidity to go unchecked, but the sooner the traffic dries up, the better for all. I have no idea who the author of this piece is, but t2w staff and admin probably need to take note of this outside view of t2w’s complicity, perceived if not real, in this malarkey.

http://daily-track-record.com/6/archives/1582
Click to expand...

That is a copy of one of dash's threads that used to be here but was deleted, presumably collected by some moronic spam bot
 
Hmm, It was removed from the articles section but clearly there is still direct linking ability. It may be a software glitch so I will look into it.


Paul
 
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