Polarbear's number is not outrageous and he knows what he is doing. He is forcing risk management on himself by limiting amount of equity in the account. It also protects him from broker misappropriating his funds. It is good risk management practice. If you understand leverage, you will see polarbear's number is equivalent to 85% return, 6% DD, and 3.5 sharpe. Not outrageous. The TRUE DD and RETURN should be calculated based on his trading account and his cash/deposit account. njrookie %%%%%%%%%%%%%%%%%%%%% Very odd. Polarbear in the journal forum, trader p/l ,is getting 850% pct return, 3.5 Sharpe, max DD of 60%. And I get crap for saying 30-40%? Yikes. %%%%%%%%%%%%%%%%%%%%%%%%%%%
U do realize that there's alot of ppl, who've replied you, are way above your level now. U shld be the one to stop telling ppl you've made 30-40% on backdated data. Like I said, lets start with your own money, like a $100,000 (dont talk to me with $5,000 and it runs up to $10,000 and you've made 200%). As of tmr opening on 24th Dec 2012, which is a half day, all the way till 24th Dec 2014 . Let's see how much you've made, based on forward testing, and not to gather data points for these 2 years and think of an algo to make 30-40%. We'll see then.
I too started developing a simulation framework recently, in R and C++ and using historical data from WRDS plus live feeds from IB. It's taking a while due to work and school and family commitments. I don't have a basement full of servers yet; in fact I'm considering deploying my strategies on the cloud eg AWS when I'm ready to scale up. But once my systems are self-sustaining, my plan is to get an account at one of the prop firms out there, then build up a decent track record, then eventually pitch to one of the quant funds out there which are open to new strategies. It seems that a prop firm would be the logical next step for you too, given your circumstances.