Comment on Quant - Sabermetric approach to trading

Gaurang commented on 24 Sep 2014, 10:07 AM

Hi guys;
Great work on quant – I’m finding out all sorts of strange things about my trading record. (I literally suffer from statistically significant Monday morning blues, for example). However, the reflection of my record seems wildly inaccurate on days when I carry an overnight (options?) position. I can’t quite figure out how it’s treating it – whether it’s failing to mark-to-market or what, but for instance when I try to pull up the daily profitability record, there are several days where the daily profit figure doesn’t correspond with the figure in the trading P&L section. These appear to be days where I was carrying an overnight options position. It would be great if you could rectify this – so that I can figure out whether my Monday morning blues are real, or not!!


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