What about liquidity ? I have developed a sys with results very similar to yours. But in reality I can trade just a little part of the sys, because liquidity is a problem. A good sys yet, but not as amazing as on paper. Hope you considered this aspect.
The system was back tested with S&P500 stocks only. When trading for myself sometimes I use Russell 1000 stocks.
I'm not sure I understand. If you trade stocks, you will need $25,000 to open an account. I'll concede that. But other than that, you should be fine: If you make an average of 1% per trade before commissions, and we assume you trade 100-share lots through IB and your average stock trades at $10, then your average profit per trade after commissions will be 0.8%. Without compounding, you will make $9,600 to $19,200 per year, never risking more than $1000. With compounding, you will make between $14,000,000 and $202,000,000, while never risking the $24,000 you had to borrow in addition to the $1000 of your own capital you used to open the account. If your average stock is a penny stock, you can just trade 5000-share lots or something through any retail broker who doesn't charge per share, and you should do equally well.
Iâm not sure I understand either. How can I make just 0.1% commissions on a 1,000$ trade? Average commission with IB is about 10$ per trade. So, it would be not 0.1% but 1% on a 1,000$ trade. Just to get in. The same is to get out. I did not say it before, but my system is market neutral. Meaning by trade I assume 2 actual trades â one long and one short at the same time. Another part is â holding period. It could be somewhere from few days to 2 months, but on average â about 2 weeks, so at some point there could be 50 or 100 positions open â also very hard to do on 25,000 account. When trading myself even before start Iâm giving up about 4% on commissions.
the hedge fund story is different from what most people think it is. the real subject is always size. a fund of USDm 5 is not a real hedge fund in the usual sense of the word. for a USDm 50 account, most high frequency trading on a very limited set of markets would be impossible. thus the strategy is not worth as much as you might think. on the other real funds are aware that they can build up overall edge by adding up small edges - meaning edges that do not work with too much money. and these funds have enough money to spend on experiments. i used to do some fund of fund business parallel to developing strategies and always had some small traders that i made contracts with, gave them seed money and offered them to use the resources of the team to dig deeper and codevelop something new - something bigger than they could do on their own. so my answer to the initial question. yes. and a good hedge fund should always haven an open ear for offers of that kind - given that people know what they are talking about. peace
i can create tons of systems like yours, bet vanilla2 can produce them every hour))))))))))) when you work on system at 3 things is a must be realistic-average PL at least 2% or more. if you come with one or less-forget about it. second thing-is holding period, and 3-number of open positions at same time. system MUST be realistic at list on paper.(how it will perform in real life is totally different story) today IB did not let me into 5 short positions-they all will be closed at target. 11 total. if i bet $10000 on each position-my profit by the end will be around $5000. i did make almost half of it. still ok, but far from perfect and what my system will show me at end of the day..now-have to think-what i will get at losing strike.. that why i believe this book- http://www.amazon.com/exec/obidos/t...f=sr_1_1/104-8524045-2167953?v=glance&s=books is a crap,because average PL is less than 2-(guys from TS forum test it,results been on their forum) so my final answer was -no. i bet no one will pay for something,that produce 1% per trade. too small. i did place a WL report with another system i currently trade somewhere on forum-it make 2.5% per trade but holding period is only 1 day. that make sence, but i still not satisfied)))) with 1% average- one good gap will kick you profits away for many months.
Unfortunately, WealthLab or TS's Performance Report doesn't show anything... But I know a few firms that might be interested... Though, I have to get more details about the test... Out-sample... Statistical validity etc. etc.... Not that I think most firms will go that far
For example... Here's a BS unrealistic system that works well on paper and bad on real trade. The performance sustains through out all intraday tradable system and was derived from ES data...
Bob111, thanks for your input. Iâm not saying Iâm selling. My question was â let say there IS a system â is it possible to sell it? Let say you showed the trades. Itâs not just 1 or 2 trades â but thousands. Though some details could be hidden the basic idea is released. So, who'll pay for it if they know how to do it? It was that kind of question. Regarding what I have right now â yes, changing different parameters I can have more than 2% per trade, holding period unfortunately not just 1 day , but not months either Currently my calculations show potential profit at about 30%/year with 9-11 profitable months a year. Iâm sure I can improve it and just wanted to know my options when time comes.
I liked the book. If anyone wants to see crap, then they should check out your lame Web site. Got any updates later than 08/20/2002?