It never had a big downturn like this. Fortunately I halved my position sizes leading up to this. I have had strategies in the past where it ended like this. I have continued to keep track of those and even though they did not lose money going forward, they did not make money either. I will keep track of it. Anyway, then you go from a consistent strategy to a strategy that may brake down again, and in that case I believe I can just as well put money in the market and capture beta long term, which I will slowly over time, if my coding efforts do not pay off.
we are in a new world right now ai didn't kill your systems your systems were flawed from the start every system has it's moments everyone has this problem. the fix is very simple but i'm done openly helping anyone on this forum i will send you the fix in private message.
I agree that no system lasts forever. Even Jim Simons — the person I admire most in this craft — has emphasized that several times.
he said he CAGR'ed which is different from average. Rentech Medallion averages 70% but doesnt CAGR because they have to constantly return capital. CAGR means he compounded at that rate so his dollar profits keep going up. His snarky reply to me implies he had withdrawals; he must have meant VAMI (ie if his account was an index, this is how it would do).
I've been trading for 200 years. I traded through Interactive Brokers in the 1800's. We built a co-location system back than. I made millions in 1861 being long gamma into the start of the Civil War. I want to know how to open a Paper trading account with Etrade.
You multiply the yearly time-weighted gross returns (1+Rt)(1+R_t)(1+Rt) together, take the 1/17 root, and subtract 1. That is the definition of CAGR. The actual dollar PnL (as elite1974 pointed out) is a different story — affected by taxes, living expenses, divorce, the distractions of an 18 years younger girlfriend etc.