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Total Posts: 14
Joined: Oct 2020
Posted: 2021-06-21 09:43
Sinclair 2020 has noted that the short side of this trade has seen a decrease in performance since 2016. For practitioners who've been been in the business for a while, has this been more of an issue caused by an average reduction in expected value on a per trade basis or a break-down in known-factor reliability, leading to more nasty surprises? I'm going to make an assumption that something like a 20% model-predicted edge has not commonly shown up for quite some time, unless the options have a very wide spread. Like everything, if it did exist in the past, it was gradually traded away e.t.c. I feel like it's combination of both, but leaning more heavily towards the factor breakdown aspect. I realize I'm working with quite a limited sample size, but am curious to hear what others have to say, in a general sense.


Total Posts: 2
Joined: Jul 2021
Posted: 2021-07-06 14:16
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