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Tuesday, October 4, 2022

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Recent member discussions

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One Bad Apple Spoils the Whole Bushel

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 Mark Brown mark@markbrown.com, Global Quantitative Financial Research, International Institutional Trading, Algorithmic Modeling.

 Friday, July 5, 2013

Bad Apple list - feel free to add - it may help others. 001.) Notions which are not tested. 002.) Data which is defined by time. 003.) Unrealistic expectations of gain. 004.) Void of validation and peer review. 005.) Thinking within the box never to stray. 006.) Tainting the initial process with humanity. 007.) Belief that static mastery entitles profitability. ~m


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4 comments on article "One Bad Apple Spoils the Whole Bushel"

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 Durga G, Trader & Developer

 Sunday, July 21, 2013



@Mark - Yes. I can see profit on a trade depends on entry price and exit price. But not sure about why time does not matter (or the price path between entry and exit price) for profits. On other hand you have much more breadth and experience then me in markets. So it is likely my conclusion would be similar in future with additional experience.


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 Greg Kapoustin, Principal at AlphaBetaWorks; Senior Analyst at Burlingame Asset Management, LLC

 Monday, July 22, 2013



Perhaps the apparent disagreement is of semantics rather than substance: The fact that nominal profit for a specific trade is determined solely by ΔP is pretty much a tautology. However, in some practical cases (in particular scenarios Tom is referring to) ΔP is substantially determined by Δt. More interestingly, for a capital-constrained actor opportunity cost may also be a material practical consideration and sole focus on trade ΔP may lead to a sub-optimal portfolio ΔP.


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 tom mcginnis, Economist

 Monday, July 22, 2013



"Opportunity cost," huh?

Interesting concept, that.

Can I sell into that?

Oh, wait! I do!

(But then, this seems so radical.....)


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 tom mcginnis, Economist

 Monday, July 22, 2013



Imagine no time series -- it's easy if you try:

No early exercises, above the profits high.

Imagine all the options never do expire!

Hoo-hoooo-ooo

You might say I'm a dreamer, but I'm not the only one.

I hope some day you'll join us, and your holdings don't come undone...

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TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS
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