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Old Mar 31st, 2012, 02:01 PM   #1
logic_man
 
 
Join Date: Oct 2010
Posts: 1,489
Has anyone tried this and succeeded? I've developed an algorithm for the ES and have had 8 months of profitability with a gain of 196% and a max drawdown of 26%. I've been optimizing it and it could have been even better. Clearly, if I can continue at that rate, I won't necessarily need a job, but I'm wondering if I could land one using that as my "resume". It'd be nice to trade OPM, so I could put even more emotional distance between myself and the outcomes. Also, having the technical resources of an established firm behind me would enable branching out into other markets, which I am dipping my toe into now. The algorithm "should" work in any market which fluctuates, which is pretty much all of them, although, of course, that needs to be verified.
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Old Mar 31st, 2012, 02:33 PM   #2
southbeach4me
 
 
Join Date: Jun 2009
Location: South Beach, Miami FL
Posts: 896
You try to get a job as a trader at a firm, they will without a doubt, ask you for the code to your strategy to "make sure it fits their business model" and then they will STEAL it and they don't need you anymore. You're better off trying to raise cash(couple hundred thous) via a rich friend( attorney, doctor, etc) and starting a small hedge fund.

You take your profitable ES strategy to a firm,......U can kiss it goodbye!
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Old Mar 31st, 2012, 02:54 PM   #3
logic_man
 
 
Join Date: Oct 2010
Posts: 1,489
Quote:
Quote from southbeach4me:

You try to get a job as a trader at a firm, they will without a doubt, ask you for the code to your strategy to "make sure it fits their business model" and then they will STEAL it and they don't need you anymore. You're better off trying to raise cash(couple hundred thous) via a rich friend( attorney, doctor, etc) and starting a small hedge fund.

You take your profitable ES strategy to a firm,......U can kiss it goodbye!
Yeah, I would definitely say "no" to divulging the strategy to anyone. I'd trade it on their behalf and if they could reverse engineer it, well, I guess that I couldn't complain because I take that risk by even letting anyone know the entries and exits. Even so, the ES is big enough for two traders trading the same method.

As far as "fitting their business model", I could describe it in general terms like the typical holding period, trade frequency, etc., and that should, for anyone negotiating in good faith, be sufficient information for them to decide if they want to work with me or not.

The main reason I'm interested in working for someone else is that I can access scale that I simply can't get on my own. My estimate is that this strategy could trade hundreds, if not thousands, of ES contracts (whatever the amount is that one can trade without impacting the market's future price action) and I simply don't have that kind of capital laying around. If it also works in other markets, well, you can see that getting even a slice of that kind of action as an employee of a company capable of that kind of diversification would be huge.
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Old Mar 31st, 2012, 04:01 PM   #4
Petro
Registered User
 
Join Date: Sep 2009
Posts: 94
It will be very tough to do anyting with OPM with a 26% drawdown. Most institutions wouldn't put up with that large a loss from someone new and without a track record. Even an established fund manager will have trouble keeping clients if at one point he was down 25%.
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Old Mar 31st, 2012, 04:08 PM   #5
gmst
 
 
Join Date: Jul 2011
Posts: 4,353
Logic_man,

I would like to offer you some advice based on my own research in a very similar condition. Can you answer following for your strategy?

How many trades per year, average points per trade or total points per year and how much money needed in account for trading each contract? Win % and win:loss ratio also. Thanks

Edit: Also it seems you are not working currently. Whats your opportunity cost in the sense if you can get a job today, how much would it pay you per year ? Also how much capital do you have in your account today and for how many years have you backtested this strategy?
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Old Mar 31st, 2012, 04:10 PM   #6
logic_man
 
 
Join Date: Oct 2010
Posts: 1,489
Quote:
Quote from Petro:

It will be very tough to do anyting with OPM with a 26% drawdown. Most institutions wouldn't put up with that large a loss from someone new and without a track record. Even an established fund manager will have trouble keeping clients if at one point he was down 25%.
Right, but the CALMAR ratio is over 7 (196% gain in less than a year vs. 26% drawdown). Granted, that's over a smaller time period than CALMAR typically measures, but I have decent trade data going back to 2009, although the strategy has evolved since then, so that data would need to be re-checked under the current strategy.

My bet sizes are typically bigger, yielding deeper drawdowns, but going in the opposite direction and making the bets smaller to avoid those drawdowns is easy enough. If, all things being equal, you could get a 98% gain with a 13% drawdown, or 49% with 6.5% drawdown, by cutting bet size in half or by 3/4, I would think that would be attractive. I ran the same outcomes with 1% at-risk per trade and got a 43% return with a 4.9% drawdown.
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