The Rise and Fall of Mechanical Trading Systems

Discussion in 'Journals' started by DT-waw, Dec 16, 2010.

  1. 1. They are not selling strategies
    2. See 1
    3. 1% management fee on 14.5B is nothing to sneeze at (although lower than the industry average of 2%).
    4. 20% performance fee (pretty standard) can mean a phuckload of money in a good year sitting on 14.5B AUM.
     
    #41     Dec 17, 2010
  2. Go to their website and read the history. They could not have grown from their startup capital to their present size on their rate of return. Hence OPM.
     
    #42     Dec 17, 2010
  3. DT-waw

    DT-waw

    developers on TS strategy network also do not sell systems, only signals.

    the systems i've selected (links in previous posts) collectively produce MUCH better results (in % terms) than Winton or any other respected manager.

    But this is only history. From this magic moment, the best public systems will fall apart, for the very rational reasons:

    a) they are public
    b) their developers should not have any incentive in offering them
    c) good systems are such a treasure (like a hot pussy of a hot wife) no sane person will ever want to lease them
    d) the developers do not posses a Ph.D. degree in Math, Physics or Macroeconomics, therefore are mentally unable to build a winning system

    Pick your answer!
    My answer is:

    e) some systems are optimized and have a danger of going down the drain, immediately after first real trade is made. while other systems are not optimized - usually the ones which are making money for other people :D
     
    #43     Dec 17, 2010
  4. There is a possible (f):

    they are successful developers who are selling their weakest performing systems.

    Winton's returns on futures trading are notable only for their achievement relative to the total capital under management. A small independent futures trader with modest capitalization would sneer at those results.
     
    #44     Dec 17, 2010
  5. DT-waw

    DT-waw


    thats likely not true. simons medallion fund was making 80-100% per year on assets $5B.

    on the other hand- show me small, 1-5 million fund making 100% per year. very rare... no one making it year after year. except medallion.
     
    #45     Dec 17, 2010
  6. DT-waw

    DT-waw

    if these are their weakest performing systems (the ones i've selected), what are the best ones? :eek:
    and why in such case they would want to sell the weak ones for 99 bucks, while producing 50k /month from trading the top systems with their own money?
     
    #46     Dec 17, 2010
  7. Winton don't even sell you signals/TAA/SAA/timing/whatever.
    You give them casholians. They take a management fee. if they do well they take a performance fee and you get to see your cash - hopefully - increase.

    Don't see how the shite from TS "strategy" network can even be used in the same sentence...
     
    #47     Dec 17, 2010
  8. DT-waw

    DT-waw


    its exactly what my journal will show- TS network systems will fall apart and no public system will show a positive return in the long run.

    if otherwise, it will remain a mysterious, amusing phenomenon for further research.
     
    #48     Dec 17, 2010
  9. I can only assume that they aren't making that much and the leasing fees represent significant income to them. Or maybe they are just scammers, frontrunning their calls. I have never looked into that part of the trading industry deeply. Over the years I have met casually a few people who did well as advisors, and many more who were simply crooks.
     
    #49     Dec 17, 2010
  10. Then why waste your time on them? Time that you could spend observing markets and devloping your own systems.
     
    #50     Dec 17, 2010