4 ms·

I don't get that. It would be true if he just made a few trades, but the author claimed to be making 2000 trades a day. Over a period of months winning that wou

• DanBC 14y ago
  >Over a period of months winning that wouldn't qualify as blind luck. Why not?
  • marshallp 14y ago
    By that definition you could start claiming everything as blind luck. Why bother doing anything at all, let luck do the work.
  • crntaylor 14y ago
    It's simple statistics. The author was up 4k/day over 120 days. He doesn't say what his daily volatility was, but let's assume 2k (which squares pretty well with his claim that his worst day was a 2k loss). With a quick bit of R code, we can simulate his PnL over 120 days multiple times, assuming he has no skill, and see what the probability of him being up 4k/day is. I'll use a t-distribution with 3 degrees of freedom, which allows big up and down swings (again, accentuating the effect of luck). > pnl <- c() > for (i in 1:1000) pnl[i] <- mean(2000 * rt(120, df=3)) > mean(pnl > 4000) 0.0 That is, there's a zero percent chance that he would have made those returns if he had no skill. And remember that this simulation is overestimating the effect of luck.
• tatsuke95 14y ago
  Definitely not blind luck; but boosted by the fact that SPY was on a massive bull run at that time. This is really cool, any way you cut it.