-be careful about what you allow to be put in your mind-
- Joined Jul 2011 | Status: an ant working the structure | 3,166 Posts
-be careful about what you allow to be put in your mind-
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Dislikedhi so, here goes, another trade employing the mechanics mentioned above. so first off, i was long USDJPY and the market had a numbers released so by that time i already had a flattening position set ready to engage and deploy a short position should the market push downwards. so the down push manifested and i engaged to move short, and was hedged and locked in 4 dollars loss. so as the market was pushing downwards, my exposure was 0, given by the equation p&l = s f(v) g(x), so f(v) is 0 since exposure to volatility is 0, but actual locked in loss...Ignored
Disliked{quote} Hi CookieMonsta well done, good to see you have developed your own workable strategy, it just takes a while practicing and bringing the bits together that are right for you. regards Phil.Ignored
DislikedAlright, so refinement of the max loss model in conjunction with what is done above to control volatility exposure of the portfolio. Originally, it's alot more difficult to try to stick to the 3x daily profit loss because there is 1 degree of variability which I cannot control without anyway to influence volatility exposure of book. Now, with what's learnt as written above. I can control it. Implying that, suppose for a $500 account I set my maximum loss per day to be 2% which is $10. I can now easily adapt to a wide range of volatility settings...Ignored
Dislikedthe simulation of the mo, with flat skew of 2 units max, in live trading, it uses fibo skew, this is simply an exploration to see the effects. but of course if you prefer, when market breaks short at t=1, you can always be short 2x, instead of 1 x to gain 1x net short, all these can be tuned on the fly according to the feel for price action. notice the key focus is not just on p&l and all, but on sigma, notice that sigma is alternating. {image} {image}Ignored
DislikedSo the last 2 weeks, I have been mulling over what I have been doing wrong in rescues, and it appeared to me that, say for example, I am long, I have been using a lack of bearish momentum in place of bullish momentum, and that is where my most costly mistake is at. Sort of being too anxious to conduct rescue.Ignored