i agree with anaconda about scalable edges, pairs is a good example not a huge edge, maybe a statistical edge but definately a scalable one and performance shouldnt be hindered. actually if you are trading pairs and arbing two correlated stocks you are going to want people to pile in on your side of the trade because this is essentially a fade trade when doing pairs. if you had a decent edge in something like illiquid stocks than that could seriously impare the edge if others are let in on it.
Jack! Now I can come out from under the bed! Been hard trading under here! Glad you are alive, if even just barely. Hope the hospital gave you back your Pied Piper's flute when you checked out.
Wow. Thanks for the compliment. My results are not embellished (even in the slightest). But, damn, I'm seriously amazed that you even thought that they were. Like I said before, if someone is seriously willing to help me out with a 2nd system, then I'm willing to furnish statements and whatever else is necessary to prove that I'm not "full of it". Jason
Yes. I am willing to share ALL of my statements if someone is willing to help me with a 2nd system. I have zero problem doing that. Jason
Anaconda, I actually haven't done a single optimization in over 6 months. I've moved from using IB's crappy data to using DTN's IQFeed (to improve my performance). I've also done a ton of work on slippage approximation by analyzing recent T&S data so that I can adjust my positions for market impact (hence my complaints about scalability earlier). These are the only two things I've done to improve my results. Other than that, my strategy has been impacted over the recent year, because of decreased volatility, but evidently, it's (by no means) gone yet..... I must admit that during every one of my DD's (especially the one during mid 2009---over 1 month), I 2nd guessed quite a bit. This is a constant struggle for me during draw-downs, but I'm starting to get a little better with it as time wears on.... Still sucks though..... Jason