Apr
5
They Gave Me a Drubbing, from Victor Niederhoffer
April 5, 2011 |
They gave me a drubbing on my shorting of DAX and long SP in two previous trading days. But still without evidence that it is good, with the ratio at a 20 day high against me, I refuse to surrender. Regrettably like most things uncovered, the trade looked great in sample. But as soon as I found it, I've been tracking it for a year now actually calculating the ratio myself by hand, a feat helped by my ability to do mental math with 4 figure squares now, which I'll be performing at Rand's wedding, and the out of sample results, show nothing at all. Indeed a positive serial correlation. There is nothing so sad as a theory confronted with the facts.
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