Perhaps I got lost along the way with various Q's, but yes - you take the StDev calculated from daily data and multiply by sqrt(256) to give you...
Arnie Why don't you look at your delta as an exposure ? If you want to increase your (bullish) exposure you'd leg up a Put strike. If you...
yip You take the sandard deviation of your daily returns. Then, since these are daily returns, you multiply it by the square root of 252 (maybe...
"Does this have a name? " Yes, it's called a brokers dream :)
That shouldnât make any difference to âaccuracyâ because the spread after all, is part of trading life. [/b]It depends. If itâs a liquid...
Don't follow that, please explain.
Doesn't he run a fund ? If so wouldn't that info be publicised ? What happened in '97 ? Or do you mean '87 ?
No reason why you couldn't look at the Sharpe ratio for each and every one of your strategies, as well as your overall performace.
The sharpe ratio measures your risk adjusted return. Sharpe ratio = (Return â risk free return) / Portfolio Standard Deviation You would...
I agree with Jeffm in that profit per contract is a meaningless measure of performance. Profit as a function of capital employed would be more...
Grant That's probably a bit too "quanty" for ET. You'd probably get more respone on the Willmott Forums.
By comparing the implied vols of the index options with the implied vols of the component options, then calculating an implied index correlation...
[/b]Because daily EOD data is readily available. I would always try to include as much data as I could, not exclude it. If âhourly or minute by...
That's actually a reverse dispersion / long correlation trade. You'd have to look at implied index correlation to see whether the conditions are...
Why do you want to exclude 80% of the data ?
There ya go newbunch, curtesy of GBOS. Looks like a very similar distribution to the DOW. GBOS, what's that software you're using please ?
newbunch Neither do I. But if you post up some data I have a gander.
[/b]Yes. [/b]I donât have any S&P data, so canât verify. Why do you doubt the Kurtosis of the S&P ?
[/b]Well I got the same value of 39.3 (Pearson) and 36.3 (Fischer) as did GBOS. Donât know how you arrive at 27.7. Donât take this as an...
Pearson kurtosis = 3 Fischer kurtosis = 0 Excel uses the Fischer calc. Easily done.
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