Yes, the idea is not to make a living out of it with my capital. Rather, in case, to build a small track record which hopefully would get me somewhere/someone. [ Anyway, for the sake of exercise: In backtest, max drawdown was 400k, with average annual return of 700k. Assume a realistic drawdown of 600k, and that I am willing to accept 50% drawdown of my trading capital (which is quite aggressive, in non stretched situations I would assume 20%) and that I have 50k capital (possible), that's 30k, which doesn't make it too viable. (in reality is not that simple because you scale your capital up/down with profits/losses, but well..) ] And 1 year is not the time I give my self to become a big fat hedge fund manager with my fantastic and definitive strategy, rather a time to understand whether I could make it. I certainly expect (and hope!) to keep developing and improving my system and my approach as time goes by. And of course the 1year figure is just indicative. And finally, I don't want to sound arrogant nor I know this guy you mention, but wherever I turn seems to be full of stories of ex GS people who don't make it, so I wouldn't take it as an example (just kidding...I really heard a dozen of stories!) I agree that this a more sane approach (which doesn't necessary make it better though ). Problem with it is exactly that I don't have a track record. So I would expect, at least, to be asked to give up the Intellectual Property...does anyone have experience on this? Would it be different with a prop firm?
Weren't you the one asking for magic numbers? Not a rhetorical question (might be a 'rethorical' one, though).
It is a wise decision to not sell it. If it is automated, you can add a feature that detect certain parameters ( e.g., DD, total size, margin, distance to TP or SL, ........etc) and alert those info to your cell or email immediately after reaching certain value. 4 orders per day, i believe it is still easy to manage.
You said "political reasons" stop you from trading it right now? does your firm place restrictions on your personal trading? i assume you will need to report all your trades from your personal trading to your firm for compliance reasons?
Hi gmst, yes, the idea of going on my own wasn't to make a living out of my capital, rather to try to build a real track record (small amounts, but if the strategy is decently scalable it doesn't matter) that would allow me to get somewhere/someone's $$. I did this exercise on my own already, but it may be good to share it. The strategy in backtest had 400k max drawdown with average annual return of 700k (even though on last 5 years the average was more like 1mil). Make the drawdown 600k for conservativeness, and say that I have a 50k capital and that I am willing to accept 50% drawdowns (which is quite aggressive, in not stretched situations I would go for 20%). This makes a projected 30k average annual return. Of course in reality things will be a bit different, as you scale your capital up/down with profits/losses, and possibly in an asymmetric way, but well the result is more or less that. Also, the 1y horizon figure was indicative only and I meant it as a period in which I hope to understand if I totally fooled myself, not as my deadline for becoming a big fat hedge fund manager with my fantastic and ultimate strategy. I certainly expect and well hope to keep improving my approach and strategy as time goes by! And finally, I don't know this person you mention, but I heard so many stories about ex-GS who didn't make it that I wouldn't take him as an example (just kidding...but I did hear many stories!) I agree this is a more reasonable approach. But exactly, the problem is that I don't have an actual track record, so I expect to be asked to give up the Intellectual Property... does anyone have any experience on this? Would it be different if I join prop firm? Thanks again
Hi gmst, yes, the idea of going on my own wasn't to make a living out of my capital, rather to try to build a real track record (small amounts, but if the strategy is decently scalable it doesn't matter) that would allow me to get somewhere/someone's $$. I did this exercise on my own already, but it may be good to share it. The strategy in backtest had 400k max drawdown with average annual return of 700k (even though on last 5 years the average was more like 1mil). Make the drawdown 600k for conservativeness, and say that I have a 50k capital and that I am willing to accept 50% drawdowns (which is quite aggressive, in not stretched situations I would go for 20%). This makes a projected 30k average annual return. Of course in reality things will be a bit different, as you scale your capital up/down with profits/losses, and possibly in an asymmetric way, but well the result is more or less that. Also, the 1y horizon figure was indicative only and I meant it as a period in which I hope to understand if I totally fooled myself, not as my deadline for becoming a big fat hedge fund manager with my fantastic and ultimate strategy. I certainly expect and well hope to keep improving my approach and strategy as time goes by! And finally, I don't know this person you mention, but I heard so many stories about ex-GS who didn't make it that I wouldn't take him as an example (just kidding...but I did hear many stories!) I agree this is a more reasonable approach. But exactly, the problem is that I don't have an actual track record, so I expect to be asked to give up the Intellectual Property... does anyone have any experience on this? Do you guys think it may be different if I join prop firm? Thanks again
The advice from ct10gov is right on. Find another shop that does quant strats. Don't forget, you also have experience as a quant which is always a marketable skill to a prop desk/hf/CTA. You may have to take a pay cut in salary to get in door, but if you go in explaining that you have strategies, that you want to put into production then at least your role is clear. So you can model the strats while you are working on other things for the shop. Essentially this starts out as them demo trading it for a while, then committing a small amount of capital, then more as it does well. With a strategy that only places a handful of trades a day, you have ample time to do other things, including come up with other strategies. I know of many firms that operate this way, including the one that I work with. Good luck.