OddTrader wrote: I'm not making any ad or promoting that company. I even didn't know the company. I opened that thread because the admin Magna wrote this "OK guys, this thread has gone on long enough. The OP has had plenty of time to gather interest here and any further realtime testing/results/discussion will need to take place at a site like Collective2." and I just wanted to know about people's experience with C2 to figure out if the system can be tested there. As I learned from the replies, that system cannot be tested there. You don't know what you are talking about. The system is a statistical system. I only yesterday discovered the following important academic research result from 1977 or so, though I came to the same conclusion myself and my system needs and makes use of diversification: https://en.wikipedia.org/wiki/Diver...le_relating_diversification_to_risk_reduction That's the mathematical background and reasoning for the 50 stocks and bots, but also the account size plays a big role. What a silly statement! Just take a look at the MDD! And: that is a long-only system... Oh, boy, you should stop lying, man! Which of your question wasn't answered? It is highly possible that it was already answered as reply to an other posting, not necessarily from you. As said, if someone argues like you do, then I have no other choice but to classify you as a liar and ignorant who is incapable to understand that trading systems can and do work.
Did you try your system on equities or forex? Why did you choose options only? While most people are concerned with GBM itself not being good model for real market there is another concern. Your model of option pricing is may in effect correlate well with price modeling using GBM. This in turn can produce unrealistic expectations. I think that the idea of using GBM is not that bad and probably would work best in very short time frames. However, the distribution used to model random price behavior is the same for entire test (is it?). Real market would switch and skew distributions due to herd mentality of market participants. By the way discussion regarding your system brings up many interesting points. Do not feel discouraged by some comments.This is the norm on this site and with few exceptions most are direct but not extremely rude. Just get used to it.
I tested it with stocks too, but options simply give more profit because of the leverage effect. And I think it is a rational decision to apply it to the instruments which offer the biggest payout. After all the strategy is the same, just some params differ. But I must say I haven't followed the stock trail for a long time now. I'm only interested in options. Therefore the system uses the "fat tails" variant of GBM, realised with the t-distribution (instead of the normal distribution) as described here under the heading "Leptokurtic Model of Asset Returns": https://mhittesdorf.wordpress.com/2...-asset-prices-with-geometric-brownian-motion/ But this question was already discussed in the other thread. Thx. I'm confident I can convince all (or most) of the critics with true arguments backed with maths.
As said, the administrator does not like further discussions of this system. Therefore just send me PM if still something is unclear. Thx.
Collective2 now has a strategy language, so assuming our programming language suits your needs, you don't need to use an API, subscribe to market data or open a live account to publish your trades. Of course, importing verified transaction history from a broker makes subscribers more comfortable with the strategy but you don't absolutely need to do that if it's not available. We don't allow importing of hypothetical back-tested results on C2. See this article on results and performance for more details.