how do you find patterns in randomly generated data ? 20percent is a lot. Hedge funds don't pay that to traders they hire much less unproven systems not traded on real data.
As said this system can't predict the future, so it doesn't try to find any pattern. It rather does some statistics and applies some probability, ie. does some kind of money management. Regarding the 20%: it's negotiable and depends highly on the account size. Just imagine: the higher the account size, the higher the absolute value will be (also) for my part in a certain time. So, I too have a certain goal that I would like to reach: for example about 1m in the first year. This will be achieved the faster the higher the initial acctsize is. So, as said, this point is negotiable, I'm open for offers. But don't forget: as said: there is still some work todo (about 2 months) connecting the system to the exchange using client's broker API.
Regarding the prospectus: please find it in the initial posting here, ie. http://www.elitetrader.com/et/index...rading-long-only-options-system-sys13.297294/ There is also an attachment with a zip file containing 5 runs = 5 years (XLS and CSV): http://www.elitetrader.com/et/index.php?attachments/sys13_tests_v2-zip.160876/ And: I've set up also a private thread here, and wanted to add also you to it, but it seems you've disabled that option in your settings, let me pls know if you want to join the private thread.
Continue to update this thread whether this comes to fruition or not -- 1,000% annually, that's something
It's on average "only" about 1%/day of account value as can be seen in the XLS/CSV. The rest is the magic of compounding.
Sounds like pure bs to me but hey I don't have a 600k account to put into a sim traded system so my opinion isn't worth much.
As a sanity check, could you run your backtest on at least some actual data? Your brownian generated data may not be picking up the nuances of real data(?) such as price shocks, correlations among stocks and a multitude of other things.
Yes, sudden price shocks are not specially considered in this system; it rather works in "normal" market situtations, meaning: the generated GBM data have the control property of a certain volatility, ie. one can compute the volatility of the generated data and it will give nearly the same volatility that was given as an input parameter to the system, for example 30% in the tests. But: the system itself does not make any use of that information; it is used only in the data generation subroutine. And, I think the opposite is true like Sinatra said "if I can make it here, I can make it everywhere", meaning GBM covers more outcomes/possibilities than real data of only some years. But if someone provides me 5 sets of annual data of 67 options then I can test that too, but I think it is nearly impossible to find that much real data. Regarding correlation: in the test, 67 tickers (underlyings) were used, and each was independent of each other, meaning correlation was not taken into consideration. Maybe it should have been, but this would complicate everything. The offer is just the result of a research using simulated but realistic data. It does not take into consideration rare black swan events like market crash etc., except one thing: if there is no change in the last price then it thinks the price was halted at the exchange...