Obtaining Trading Capital

Discussion in 'Professional Trading' started by Cole, Apr 24, 2004.

  1. Cole


    Thanks for all the responses.

    Prophet, here are some answers:

    (1) This is a combination of three of my systems that can be traded with less than 200K. I can show a report with all of my systems, the resulting equity curve is smoother. The capital requirements do rise to around 300K.

    (2) I have not run a correlation report like this recently, but I will try and get one out soon.

    (3) These three systems average around 125 trades per month.

    (4) System one holding period is 1 day, but occasionally will carry overnight.

    System two will hold on average 3 days , but occasionally trades can hold for up to 10 days.

    System three will hold on average for 10 days, but often holds up to a month.

    (5) Yes, stop losses are used

    (6) My testing is based on TICK data, and daily data.

    (7) A three year out of sample test was performed from 2001-2003. The walk forward was absolutely consistent with historical.

    (8) Variable size positions


    Slippage is set to 12% of the daily range plus slippage included in rollovers. Commissions are set to $ 15.00 / contract plus rollovers.

    Unfortunately, my friends and family have very little risk capital available. Remember, I let the numbers go into the billions, because this shows the power of the systems. Obviously, as an account grows, trading size will eventually be limited.


    I will contact Don Bright, thanks.

    Any more questions?

    #11     Apr 26, 2004
  2. prophet


    Excellent results! Do what you can to get more capital. Or if you can figure out how to lower your capital requirements it will let you delilver less risk for the same amount of capital.
    #12     Apr 26, 2004
  3. Problem is that if you do not have a real money trading record , then you will be asked to fully disclose your method. At least one on them. Paper results and testing results can be easily manipulated . I have personally developed a few systems that show 1000 % per year profit but in real trading barely made 20-30 % .
    So if you do not want to disclose you will have to trade smaller version for yourself . If you are willing to disclose, pm or Email me.
    Good luck...
    #13     Apr 26, 2004
  4. prophet


    There is no inherent need to disclose methods.

    He just needs to demonstrate real time results that are in line with historical (backtested) results. He can broadcast signals in real time over the internet. Perfect demonstration.

    So you admit you won’t trust us system designers, but you expect us to disclose our methods to you? Sounds very hypocritical to me.

    Sounds like a testing issue. Too much curve fitting? Do you use rolling train/test periods? If any of my systems showed 1000% in hindsight, but 30% walking forward I would trash it.

    A lot of us are tired of this “you must be willing to disclose” bullshit.

    Some of us have spent years working on systems. How can you expect us to just hand over our work, not knowing who you are or if have a ton of capital and employ an army of quants and traders ready to enhance it? Then when you do enhance or modify our ideas you can claim you own the derived work and owe us nothing.

    #14     Apr 26, 2004
  5. DT-waw


    Hmm 125 trades /mo/3 sys = 42 trades /mo/sys = ~2 round turns a day.

    With 12% daily range round turn slippage... your systems must earn 24% of daily range just to cover slippage! Are you sure there are no errors in your testing procedure?
    #15     Apr 26, 2004
  6. lindq


    IMHO, a big negative is a max drawdown of 37%. Really, who is going to want to continue to fund an unproven program and unproven trader if the account is underwater by anything approaching that figure?
    #16     Apr 26, 2004
  7. prophet


    By my calculations max drawdown is 29%. Non-compounded rate of return is 12.5% per month, 150% per year. Monthly compounding gives 389% per year.

    1) Can de-leverage by a factor of 4 given enough capital and everything becomes quite reasonable.

    2) Can always diversify between more systems to cut risk.
    #17     Apr 26, 2004
  8. This is sad but TRUE!

    I have no problems personally with a max DD of 37% if the projected annual returns justified that downside risk.

    Howevwr, investors are EXTREMELY IMPATIENT and if you are unproven or have no track record, if they give you a shot... you better make money SMOOTHLY AND QUICKLY. The moment you go into a losing streak/drawdown or show the smallest amount of volatility, they will bail on you. I know this from personal expereience. And the so-called "sophisticated investors" are the worst in this regard.
    #18     Apr 26, 2004

    I say starve instead until you can raise your own capital or meet an angel investor. It's a tough proposition, but better than selling your soul to charlatans.
    #19     Apr 26, 2004
  10. in all reality and all joking aside, the monies that you put up should be dear to you.

    that way you'll have respect for them and not lose them or trade them away with stupid trades, or fogotten lessons....

    also, you should have had "something" to do with sweating (equity) to have accumulated those funds.

    Say that they're family funds, then you should have had something contributed from your present / primary career towards that collective sum....

    in that way, you will be able to associate every dollar lost / earned with what it actually took you to earn it in your career.

    say that you're a newspaper stand operator, who has accummulated $35,000, then you will be able to personally associate every dollar earned to the average cost / profit per newspaper sold (at your stand).

    hope this fundamental connection exercise helps keep your perspective on things
    #20     Apr 26, 2004