They also discuss how applying it to real life comes with different conditions and constraints. Its the very first chapter I think, the book is also a fun, light read you might enjoy (if you haven't read it).
One of the points you made on Dean's show was that you should constantly be reevaluating trade attractiveness as the greeks change. I am curious as to how you would approach incorporating in-trade (in sample effectively) data vs the data you used prior to entry to determine whether to stay in a trade or not. For example, if you enter a short straddle trade when iv is 15 and historic average vol is 12, you have 3 vol points of expected carry. If through 2 weeks of data vol is realizing let's say 10, do you add those weeks of data back into the sample data to reevaluate or do you treat that as not yet usable? In other words, if a trade is working out "too well" how much should one read into that as a misread of the original data vs simply drawing a good period so far in that hypothetical trade?
I don't think about the trade I'm in as being somehow special compared to potential trades.
If I have am long X vol and it stops moving or other vols in the world get much cheaper relatively then X will migrate up to a neutral or expensive part of the cross sectional cloud and it's a sale.
The fact that I have a position that's winning or losing is irrelevant. In a sense it's simple. Nothing get preferential treatment just because it's in your book.
I will know how a position (as in an accumulation of Greeks) is performing but no idea what any individual trade is doing (unless my entire exposure in a a name came from a single trade)
Hey Kris, I read about the stopping problem in this book - https://www.amazon.com/Algorithms-Live-Computer-Science-Decisions/dp/1627790365.
They also discuss how applying it to real life comes with different conditions and constraints. Its the very first chapter I think, the book is also a fun, light read you might enjoy (if you haven't read it).
How do I find the discord, and do you have any idea what the test is over?
Reach out to David from his site and he can fill you in. Tell him you heard about it from here
One of the points you made on Dean's show was that you should constantly be reevaluating trade attractiveness as the greeks change. I am curious as to how you would approach incorporating in-trade (in sample effectively) data vs the data you used prior to entry to determine whether to stay in a trade or not. For example, if you enter a short straddle trade when iv is 15 and historic average vol is 12, you have 3 vol points of expected carry. If through 2 weeks of data vol is realizing let's say 10, do you add those weeks of data back into the sample data to reevaluate or do you treat that as not yet usable? In other words, if a trade is working out "too well" how much should one read into that as a misread of the original data vs simply drawing a good period so far in that hypothetical trade?
I don't think about the trade I'm in as being somehow special compared to potential trades.
If I have am long X vol and it stops moving or other vols in the world get much cheaper relatively then X will migrate up to a neutral or expensive part of the cross sectional cloud and it's a sale.
The fact that I have a position that's winning or losing is irrelevant. In a sense it's simple. Nothing get preferential treatment just because it's in your book.
I will know how a position (as in an accumulation of Greeks) is performing but no idea what any individual trade is doing (unless my entire exposure in a a name came from a single trade)