I found below an interesting read, so just sharing. If people want to chime in, all the better. https://www.quora.com/What-should-I...m-Costello-22?ch=10&share=1a995025&srid=3zJ4G
A single trading system that generates 50% per year for three years is likely tuned to a particular market condition and will likely fall apart when market conditions change. That being said what if instead you had a collection of trading systems for various market regimes and all of the systems at least had a profit factor of 3. Let's also say for example that each system risked 1% of account equity per trade. That averages out to a 1% gain per trade. Given this scenario, just one trade per week will put you well over the 50% annual return mark. Intra-day futures strategies lend themselves to this approach though it would be challenging to accomplish on just $10,000.
I cant believe i wasted my time reading it. Authors logic is basically i cant make 50% the guys i interviewed cant make 50% therefore dont get your hopes up. Fact is some people do make high returns with low risk. Dont let some dude on quora discourage you.
One point that I found interesting is the requirement to be uncorrelated to the market and how rare it is.
I agree on having multiple systems. But now you are just manually trading/timing the market and baktests becomebuseless You transaction costs increase as well while returns suffer. The problem with intra-day strats, imo, is that they don't really correlate to trends/regimes, so every day is unique. Maybe you can make some asamptions based on current volatility. To me, unless I understand the catalyst, I don't want to be part of the intra-day move/noise.
It was not meant to discourage but provide a benchmark professionals use. Sure you can make 50% on your 10k account, but don't expect to sustain this return as your account grows(keeping draw downs in check that is).
It does make me wonder why those people and the guy interviewing them want to work in a hedgefund, besides the big leverage and bonuses. If they were that good they would trade for themselves. If you need huge funds to make a acceptable income your strategy aint that good to start with. To be great you need a strategy that is scalable and work in multiple markets. No offense you dont know when your size will be a big hurdle for you. Looking at financial futures contract there are lot of liquidity.
I can easily believe that quant strategies which make 50%+ year in, year out, on $1 billion+ in capital, are rare to nonexistent. "Luckily" most of us are trading with far less than that...