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September 10, 2018

Volatile Systems

You guys know I’ve been all over volatility, the realized and the implied kind, for a good part of this decade now. If you curious as to the reasons for my volatile obsession then the most salient one is that volatility is much easier to predict than signed returns. I’ve covered that topic in exhaustive detail over the past few years and today we’re actually going to put it to work.

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July 25, 2018

Realized Versus Implied Volatility

People talk about volatility all the time and often talk about completely different things. So I’m going to walk you through the basics. First of all we need to differentiate between realized volatility (or often referred to as historical volatility) and implied volatility.

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June 13, 2018

How To Keep Up With Theoretical Compounding

It’s FOMC Wednesday and that means today’s session is officially hosed. In order to keep everyone focused and on mission I decided to repost some educational highlights of years past. I’m sure are familiar with the concept of compounding and how it can affect your system’s P&L over time. What you may not know however is that keeping up with theoretical compounding over time is actually a tad tricky, for various reasons outlined below. Enjoy!

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May 22, 2018

Key Concepts In Risk Management

I accidentally wiped out my NinjaTrader installation on my VPS this morning and am waiting for the weekend backup to be restored. Per the hosting company it’ll happen sometime during trading hours today. So no new setups today as all my charts are in deep freeze right now. In the meantime I thought it may be a good idea to go over some basic risk management concepts that, judging by the comment stream yesterday, may bode repeating:

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Cognitive Bias Carousel
  • Confirmation BiasConfirmation Bias
    When equities turns volatile each added gyration serves to stir the collective emotional cesspool of market participants. An unfortunate cognitive bias we as human beings all share is … more
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