FYI: I today did GBM simulations. The result looks good: on average only 30 hedging trades per month. But my GBM lacks gap generation, ie. so...
Definitely deserves to be tested. But my own experience with dynamic delta-hedging is unfortunately not that positive, but then maybe I made an...
Definitely more quality there.
Ah! Sorry, I misread it.
75.8% in 1570 business days (year=252 bizdays) would translate to 9.48% per year. The original strategy gives only about a meager 1.5% p.a. when...
Thanks, this is very encouraging, really, it helps me much... :banghead: FYI: I'm not average, if I were average then I wouldn't be able to do...
My debts are caused by 6 court cases against my previous employer, which I mysteriously all lost... The firm had offered me a 10% share of all...
Martinghoul, thanks for your help. I think I've seen enough. I'll crawl back into my cave and try to find a better method or system.
I see. Then, I think I should stick with my original version: w/o the +/-10cent bands, because then it comes much cheaper, even if it...
Yes
What do you mean by "and change"? Maybe you have not set EarningsYield = 0 and DividiendYield = 0 ? And t has to be 21/252 = 0.0833333333 <updated>
Hmm. what does your calculator give instead? Sorry, but a funny question I must say because I'm not interested in break-even :D, but in taking...
Shay, I updated my wording in my previous posting: the stated commission of $1 is for the 100 shares of the stock belonging to the 1 option contract.
That is simple to answer: static stock commission for the 100 shares of the 1 contract = $1 (at the broker IB: $0.005 per share, minimum $1). Ie....
FYI: I've decided that I will continue the development of the system on a different site. People interessted in the system can get the latest...
Yes, I admit I made cardinal error: I stated a guarantee. The funny thing is: the guarantee is indeed real. The medieval inquisition lives, I'm...
Here's the verdict of the high court. Judge yourself people how this corrupt system works...: ################# Magna Administrator Before I...
I can do it for you as follows: 1000 runs using simulated market data called GBM (this is not random data). And you can get all the 1000...
I give Baron the chance to revert the injustice done by the mod Magna.
Baron has replied that he has no idea of this action and will consult Magna. I've also PM'ed Magna, but no reply yet... I'm waiting for their...
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