> > Actually, the put option has drawbacks too - as does trading long and short > side. I am worried that an event like the flash crash could happen again, > and one strategy goes long at the top, and flat near the bottom, then the > other goes short at the bottom and flat at the top. At the end I have a > huge loss, and the puts haven't changed much (except for volatility value). >
Anything can happen. However, I look forward to the next flash crash. I didn't actually trade on that day, but the last time I backtested the sample strategies, they turned a huge profit on the flash crash day. The profit was indeed so astronomical that I decided to exclude that day from my optimization data set, since it was heavily skewing the results. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To view this discussion on the web visit https://groups.google.com/d/msg/jbooktrader/-/XYAZa_m_P_gJ. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
