coz liquidity is warrants is as much an issue as with SSF, in other words the market maker ensure they are as liquid as the underlying .. barrier is not an issue as it is way far away an if one is still holding at barrier then one is trading like a #### .. time decay, yip .. less aggressive with barrier warrants and linear .. to my mind that is then off set by the larger risk within the SSF in the event of a black swan event ..
I love Simon's system dearly, but as in all trend-following systems, the only black swan is a prolonged sideways market that causes consecutive stop-outs. The trick is to figure out how many stops in a row you can take and still survive. So combining it with some elementary charting (to wait for breakouts from channels) seems to be the way to go.
which also eliminates the possibility of subjective interpretation of volatility by the market maker in option pricing. Derivatives such as SSF's can also be used by investors as opposed to traders with a typically longer time horison. Risk and black swans are omnipresent...but with different probabilities across the cycle, depending on the level of risk-free rates, absolute earnings and asset returns, valuations etc.
To put around R20k into a trade (incl fees) with a stop loss of 10% according to Elder you need to have at least R100k in your trading account? And you can only expose R60k at any time, from the 6% rule (3 trades of R20k)? Problem is we start with a small amount but dream for millions to come which means increasing our risk and drastically lowering our chance of survival.
your grasp of the 6% rule not spot on .. as trades move to were the potential loss is less thent he initial it frees up some of that 6% rule cash .. an as for the R100k - yip, me thinks that that's the min portfolio size for a successful trader ..