460 reputation
416
bio website
location Santiago, Chile
age 32
visits member for 2 years, 8 months
seen Dec 12 at 19:45

Jun
10
accepted Aprox intraday implied volatility using intraday option prices and EOD greeks
Jun
10
accepted Statistical significance of a pair trading strategy
Jun
10
accepted How to measure contango?
Jun
1
comment Aprox intraday implied volatility using intraday option prices and EOD greeks
@MattWolf I know there is no exact relationship, hence I'm asking for an approximation. As chrisaycock presumed, I'm looking for speed more than exactitude.
May
31
asked Aprox intraday implied volatility using intraday option prices and EOD greeks
Apr
27
asked How to measure contango?
Apr
5
awarded  Yearling
Feb
20
accepted Which brokers offer a Python stock trading API?
Feb
20
awarded  Popular Question
Feb
7
asked Which brokers offer a Python stock trading API?
Jan
28
awarded  Commentator
Jan
28
comment Statistical significance of a pair trading strategy
Thanks Akavall. My problem in this approach is that the out-of-sample is only one of many possible outcomes, and that is not enough to deny the null hypothesis.
Jan
28
comment Statistical significance of a pair trading strategy
Thanks Freddy. How can I set that hurdle rate, can it just be 0?
Jan
28
asked Statistical significance of a pair trading strategy
Jan
18
accepted How to simulate one-minute bars data from one-day bars?
Jan
18
comment How to simulate one-minute bars data from one-day bars?
Thats exactly what I was looking for. Thank you Joshua.
Jan
18
asked How to simulate one-minute bars data from one-day bars?
Jan
18
accepted Sharpe ratio in days with no open positions
Jan
18
comment Sharpe ratio in days with no open positions
Thank you Chris. Then how should I anualize the Sharpe ratio? Can I still use square_root(250)?
Jan
17
accepted Trading a synthetic replication of the VVIX (volatility of VIX)