QuantextMC at Yahoo! Groups

Re: New article on options valuation / strategies in QPP

jshultz73 — Sun, 05 Jul 2009 02:59:28 GMT

Greetings Geoff, Nice to see the evolution of your thoughts about monte-carlo and options pricing. I think this is the most interesting stuff you have done to

New article on options valuation / strategies in QPP

quantext2002 — Thu, 02 Jul 2009 15:53:27 GMT

Hi all: I have written a new article on options strategies via QPP

Re: Combining QPP with other strategies

erwin rosen — Thu, 02 Jul 2009 12:58:48 GMT

Lowell, I am not saying that Faber works or not for all situations. However, for the asset classes that he used in his paper and then in his book, in an

Re: Combining QPP with other strategies

Lowell Herr — Thu, 02 Jul 2009 12:24:36 GMT

Erwin, I'm not convinced Faber's 10-mo. SMA works. While I have yet to test it with different ETFs, I suspect one will come up with very different results if

Re: Combining QPP with other strategies

erwinrosen — Thu, 02 Jul 2009 04:59:47 GMT

I think to me that using QPP to do short term adjustments does not make sense. If I understand QPP, it provides long term estimates, so it seems to me that you

Re: Combining QPP with other strategies

quantext2002 — Wed, 01 Jul 2009 03:00:57 GMT

Lowell: Thanks for sharing. This sounds very interesting. Please keep us posted and/or perhaps you will write an article on this on your website. Regards,

Re: Forecast Market Statistics

quantext2002 — Wed, 01 Jul 2009 02:57:57 GMT

... I am continuing to use the baseline 8.3% +/- 15.07%. I discuss my feelings on this issue here:

Re: Combining QPP with other strategies

Lowell Herr — Mon, 29 Jun 2009 20:51:03 GMT

Geoff et. al., While I still have a lot of testing to do, here are some preliminary methods I am trying. 1) I plot the 200-Day Exponential Moving Average

Forecast Market Statistics

erwinrosen — Sat, 27 Jun 2009 13:31:45 GMT

What average long term return and volatility are people using nowadays for the market (i.e., S&P 500)?? Erwin

Checking in on the options strategy proposed for QPP in 2008

quantext2002 — Fri, 26 Jun 2009 14:23:43 GMT

I have written a follow-up article to the one I wrote back in November 2008 on options pricing opportunities using QPP: Revisiting An Options Strategy from

Re: QRP. Does anyone use it? Need help

erwin rosen — Wed, 24 Jun 2009 15:05:08 GMT

Geoff, Thank you Erwin Rosen "when there is no wind, row" - Anon. ________________________________ From: quantext2002 To:

Re: Combining QPP with other strategies

quantext2002 — Wed, 24 Jun 2009 14:35:06 GMT

Lowell: The question of how to combine QPP with a momentum / MA approach is an interesting one. I hope that you will share your findings. I have thought

Re: QRP. Does anyone use it? Need help

quantext2002 — Wed, 24 Jun 2009 14:31:17 GMT

... Hi Erwin: Check out http://www.quantext.com/PersonalPortfolioII.pdf This document uses QRP for its examples. See p. 54 for the basics of getting data and

QRP. Does anyone use it? Need help

erwinrosen — Wed, 24 Jun 2009 04:27:05 GMT

I just got QRP v4.6.2. I switched from QPP because I want to be able to adjust parameters on individual assets. I have played with the program, but somehow I

Re: Combining QPP with other strategies

Lowell Herr — Mon, 22 Jun 2009 02:52:22 GMT

"The question is can we merge the QPP allocation with a simple strategy ... I'm looking for some combination of Exponential Moving Averages (faster moving than