November 27, 2006
The business started almost 5 years ago. Several months were spent putting together the first modeling framework and writing programs that keep track of positions. Trading commenced about 4 years ago. I used various models to trade the underlying stock as a hedge for one or more options on that stock. This delta-hedging approach is still being used. It is just like the Black-Scholes framework, except a more sophisticated non-Black-Scholes model is used. So far, this project resulted in a positive total return with an improvement seen over time. The Sharpe ratio, defined as the ratio of the average daily return to the standard deviation of a daily return, has also shown improvement.
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CAUTION: This is a promotional site. It is meant to showcase my analytical skills and market acumen. The articles on this site are not meant as investment advice because, among other reasons, they are usually outdated by the time you read them. If they are not outdated, they still cannot be taken as advice because the underlying tests need to be repeated before any trading is done and because there are more "moving parts" that contribute to the eventual decision about a trading strategy, than are seen on the surface or described in this blog.