I think you are the one that misunderstood me. What I meant is: what method did you use to know that you are profitable? I don't think it's...
Ed Thorpe's articles on statistical arbitrage. One of the first things I found that actually described a legit edge that still worked at the time...
Which is what? If you said you have been profitable for 10 years that would be one thing. Profitable for 5 days is most likely meaningless...
How do you know that you're profitable now?
You sound just like the sterling tech support people. You did not answer the question at all. Do you understand the concept of a "crash" as it...
The question is: Is the current version of sterling able to operate 24/7 without crashing? The version I tried in 2014 was not able to do so....
I'm sure it's been updated, but has that particular issue been fixed? When I contacted them they wouldn't even acknowledge that it was a bug. It...
Did sterling ever end up fixing their shitty software since 2014?...
First of all you should have a reason to believe that you can succeed in this business, e.g. you are smarter than average, you are analytical,...
There is no linear relationship between number of variables and sharpe but I use a couple dozen inputs to my return predictors. The stronger edges...
I see, so the distribution changes quite a bit between the two time periods, that explains most of what didn't make sense to me. Do you think your...
lol there is zero relationship between keeping commissions low and not sending out a couple emails about this to warn people. They send out tons...
Ah I see. Nah that isn't something that I typically do since in my experience if an edge stops working it tends to just go flat instead of totally...
You don't need to trade that much to get sharpe over 3. I think you are overestimating it. To get a sharpe of 15+, yeah, you need to trade a lot...
The dradown of 3.74% seems very, very small and recovery of 3 days seems almost impossibly short for the standard deviation of 0.98% and mean of...
I'm not sure what you mean by this. To elaborate on why high sharpe is important to me: it is because sharpe indicates statistical significance of...
I would feel uncomfortable trading anything less than 4 or 5.. takes too long to see if the edge is still working or not.
Pretty shocking and disturbing that they just went ahead and implemented this without any warning. IB really dropped the ball here.
have to agree with qlai here. arbitech I wonder if the strategies you are trying to trade were modeled with unrealistic assumptions about what...
Amazing returns, would definitely invest in this if it was a fund with an audited track record. Only concern is a bit of negative skewness....
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