hey, I'm wondering... the charts and performance data you are showing. Is that your whole IB account? or just your systematic strategies? because you are saying profits from stocks & hedges.... nice job anyway and gl in the markets
ok, thanks. but there's no long-only equities exposure in it? I remember you said somewhere that is hedged out.
Thx. Have you checked your correlation to the MSCI world or some kind of global equities portfolio...? If it's low. How can I invest in you ?
Pick your favourite answer; - I have no idea based on the information available - There is insufficient history to say whether it is any good or not - performance is hypothetical not real - the numbers I can see indicate this is probably a strategy with a large amount of hidden risk ('negative gamma') GAT
It looks like a mean reversion system. Lots of small wins and a few very large losses. I've seen lots of stochastic/RSI/oscillator/BBand overbought/oversold systems with stats like this in rangebound markets, then the equity curve falls off a cliff in a strong trend.
yep.. I've been running tests on multi year data.. even when things look good not many can withstand the drawdowns of some systems that show promise. I have strong belief that algorithmic trading is changing the long term behavior of markets.