Well, I was really considering it seriously, otherwise I wouldn't have taken the time. You do sound legit just based on how you describe it Even if my returns are higher, there could be some forms of synergy with my edges, and some intangible value to your methods if I am able to improve them further. Unfortunately, in addition to all the issues that came to mind, your estimate for the capacity seems to be very high which will naturally lead you to a valuation that is at least an order of magnitude more than would make sense for me, and probably most people on this board. I am sympathetic to your situation, since in the past I was also extremely undercapitalized and unsure how to really exploit my edge. After trying a bit, a couple other things did come to mind: 1) The fact that you are on a short time horizon actually decreases the concerns about the edge being stolen or diluted. It takes time for the information leakage to eat away your capacity. Additionally you have a FT job that you don't even want to quit. This edge is not your lifeblood like it is for a lot of us traders, so you can afford to take a little risk with it. 2) You have a PhD, which I believe means it is probably not that hard for you to hired by a hedge fund as a researcher. You might be able to negotate some amount of compensation linked to the alpha your ideas generate. The potential compensation will obviously be much lower than trading OPM, but it's potentially a lot easier to realize. Not very sure how realistic this is as I have no connections to the industry, but perhaps worth investigating.
well done, extremely well done.. if you'd kindly respond to providing a little more information, just a wee bit? not the specifics or the trades, just what is that you are you trading to get 30% - is it commodities, equities, options, futures, crypto, Bitcoin, sports betting, a mix of everything or other? Thanks
Equities only. 100% automated. Always hedged, so all my returns are pure alpha. Not going reveal any edges for obvious reasons, but I can tell you my general framework for trading equities was heavily influened by Ed Thorp's statarb series, which you can find here: http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/. Thorp_part1.pdf, Thorp_part2.pdf etc. Hands down the most helpful information I ever found on the internet as an aspiring quant trader.
@cruisecontrol, edit ....fumbled around, found it, 6 part series, thanks http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/Thorp_Part1.pdf to get to the following series just change the pdf link from part 1 to part 2 etc, etc to end at part 6
yeah it's a little awkward with the 6 pdfs. I've attached a zip file containing all of them to this post, could be useful to someone (maybe myself in the future..) if the links die.
@cruisecontrol .... thanks, already finished reading the 6 pdf 12 pages. time stamped, I wonder how he would survive today with almost zero % T bills when he was getting 7% way back when? all the same an interesting read & interest guy. my outtake, the success might be in leverage & hedging ... but who knows if the average trader understands or even uses those strategies. what I got from the read was the 2.5% of portfolio in any one long & 1.5% in short.
Well, the tbills were only ever a small part of it, the returns were mostly alpha. Hedging is definitely super important though. The framework for trading and risk control that he describes is very similar to what I'm using today, what is changed is the prediction models / edges. Liquidity takers get smarter and smarter over time, once they figure out they are systematically paying for something, that will get added to their trading models and the edge will die.
Obviously the OP is lying and laughing right now. Numbers make no sense, max drawdown of 2% gives it away. Just ridiculous.