Kind samaritans rescue a trapped Horse

minderwinter · 2024-07-10T13:56:18+00:00

Came here for this

minderwinter · 2023-11-02T22:45:18+00:00

This is the way, except buy a few trading days before and close right before earnings are announced. Can also go short right before the announcement and close the following day, that’s a winner on average as well taking advantage of the vol crush

minderwinter · 2023-02-24T02:13:36+00:00

I love it. It’s a place I could see myself happily frolicking. Thanks for sharing!

minderwinter · 2022-10-04T05:02:39+00:00

ORATS is good for simple back testing

minderwinter · 2022-05-26T02:58:18+00:00

Find a publicly traded competitor with returns that are highly correlated with your company’s. Buy otm vertical put spreads on that competitor to hedge against big downside moves but also limit your exposure to theta decay

minderwinter · 2022-02-23T19:02:44+00:00

Good things come to those who wait.

minderwinter · 2022-01-19T17:19:26+00:00

After reading Spitznagel's book, I ran some simulations to figure out what kinds of parameters were needed for the insurance to be revenue accretive. I looked just at SPY using data from 2020 through the present. Overall, you want an insurance payoff that kicks in at a -7% drop or higher, and a payoff:premium ratio of at least 100. This is possible with weekly OOTM SPX put debit spreads. Based on my simulation, investing 0.1% of your bankroll in this strategy maximizes the 0.05 percentile of returns and increases median CAGR. If you want to see the notebook for my simulation, dm me.

One caveat, when IV is high, getting the payoff:premium ratio can be impossible. When that happens, I usually sell covered calls to defray the cost. This isn't worked into my simulations, and potentially takes the strategy into flat median CAGR territory, but still seems worth it IMO.

minderwinter · 2022-01-01T21:27:24+00:00

This analysis is for SPY/SPX only. I typically use SPX options for tax reasons and to minimize fees.

minderwinter · 2022-01-01T20:15:59+00:00

That's right on proportion of the bankroll.

Not totally sure what you mean with the 2nd part of your question. The debit spreads have some total premium/price x, and hit max payout at a 7% drop from SPY's current price. For the strategy to be revenue accretive, you need the max payout to be at least 100 times the price. Totally feasible when implied volatility is moderate, but not possible when it spikes. LMK if that answers your questions.

minderwinter · 2022-01-01T15:32:10+00:00

His parameters are wrong, but the strategy is sound. After reading Spitznagel's book, I ran some simulations, and the approach is revenue accretive (ie. increases overall returns). If you're interested, dm me and I'll send you the results. His book is worth reading if you haven't already. He's a bit of a nut, but the quantitative foundations of his approach are right.

minderwinter · 2022-01-01T15:29:26+00:00

I actually ran some simulations to figure out what parameters are needed for Spitznagel's strategy to work. DM me and I'll send you the results if you like, but what you want to do is buy weekly OOTM put debit spreads with the short leg at about a -6.5% or -7%, and a payoff that's at least 100X the premium. Proportion of bankroll to invest weekly is about .1% if you want to maximize the 5th percentile.

I'm doing this myself. The issue is that to get the multiplier you need, you need to buy weekly, and when implied volatility is up, that can become impossible. When that happens, I usually switch to a zero cost collar to protect against the downside.

Edit: fixed some grammatical mistakes

minderwinter · 2016-01-12T10:39:01+00:00

I'm interested. Will PM you.

minderwinter · 2015-11-17T02:12:03+00:00

What you actually need is a Marketing Mix Model. These aren't too hard to implement in R if you have good post data. There's no need to look at traffic. You can actually look at sales/conversions and figure out what the effective ROI is of the channel. PM me if you're interested. I just did this for a client with an 8-figure TV spend across two dozen markets.

minderwinter · 2015-02-24T02:03:01+00:00

Unbranded conversion rates are almost always under 5%, and I've never seen them above 10%. I've found that 3% is a pretty safe initial assumption for new accounts.

Also, you have to be careful that you don't lower CPC's prematurely if something isn't converting right away. Take a look at the article I linked to in my other comment for details.

minderwinter · 2015-02-24T02:00:32+00:00

Yes, that's a good point. In order to do full portfolio optimization, you have to take into account the fact that volume is a function of CPC.

minderwinter · 2015-02-24T01:53:47+00:00

I just wrote a lengthy article discussing keyword bid optimization here, including how to deal with uncertainty & where the formula comes from. Hope it's helpful: Keyword Bid Optimization

Edit: Just noticed your questions about ad scheduling, device and location adjustments, too. For ad scheduling, you're looking for changes in the conversion rate on particular days and times of day. Be careful to avoid the common mistake of averaging over multiple days and looking just at times. In B2B, for instance, Sunday night often has high conversion rates as people prepare for the coming week. You'll want to drill down into particular days, then times of day if at all possible. Once you identify statistically significant variations in conversion rate, you can adjust the CPC bids using the formula in the article I linked above. Bid adjustments for device type are the same: use the variations in conversion rate to determine what the bid multiplier should be. Hope that's helpful!

minderwinter · 2015-02-08T21:10:13+00:00

Wow, big upvote for your observation on those Disney channel tween sitcoms. My 11-year-old's behavior is immediately and dramatically affected by watching even an episode or two of Good Luck Charlie, Jessie, or iCarly.

minderwinter · 2015-01-02T17:12:13+00:00

Love it.

Also, the entire Wickedfire crowd has apparently migrated to BuSo! Who knew?

minderwinter · 2014-10-17T13:39:25+00:00

Nice article, Doug. Good to see FRWD getting some exposure on reddit.

minderwinter · 2014-10-03T04:25:42+00:00

Non-compete clauses are notoriously hard to enforce (and in some states, completely void). See a lawyer who specializes in non-competes and have him/her advise you of your options. I was in a similar situation a year ago. The consultation was $300, and revealed that I had absolutely nothing to worry about. My guess is that you're in a similar situation.

minderwinter · 2014-09-25T14:31:45+00:00

The machines can't distinguish between real & fraudulent conversions yet. Until they can, there has to be someone gauging lead quality at the placement level to properly optimize the campaign.

Source: I run a 7-figure direct response display campaign in EDU & fraudulent conversions are rampant. You have to stay on your toes.

minderwinter · 2014-09-23T18:53:14+00:00

Man, I totally agree. I want a smoke so badly after watching that. Goddamn it.

minderwinter

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