web analytics

When percents fail

Let’s think a bit about “signal generation”. When we test something in the market what we’re looking for is an answer to “What happens after _______ occurs?” This is really the essence of all backtesting and system...

A few lessons on risk in short volatility strategies

There are so many “teachable moments” in recent market action, it’s hard to decide where to start. I think one of the clearest lessons comes from the recent implosion of short volatility products such as XIV and SVXY—good lessons here on volatility and on risk in...