I traded a similar strategy manually on a different timescale for several months, have been trading this one for last few months although it has gone through some considerable revisions. My track record is not presentable as it is mingled with discretionary trades as well but I am looking to move the algorithmic trading to a new broker to start with a clean slate. So far I have only applied it to megacap equities. It is a long intraday equity strategy involving a pseudo trend reversal and resistance breakout algorithm. It has actually performed with a higher return on down days even though it is a long strategy as it gives better signals, I see some clear solutions to this and am implementing them. I have to go back and check my data but its approximately a 4:5 win:loss with the average loss being under 0.25% and the average gain being over 0.5%. It has an estimated returned in the area of 0.25% a day after fees and is much more volatile in the positive direction then the negative. After getting some good feedback I am fairly consigned to wait for a usable track record and to look toward becoming a money manager for a hedge fund. Any additional opinions and guidance in this area is greatly appreciated.
sharpe ratios and strategic decisions <1 requires intensive marketing, can only be done on your own or with a partner. difficult to find people willing to market it for you. 1-2 interesting for fund of funds. they are usually willing to do managed accounts. get their addresses, write them a letter. then give them updates every month. they look at you for six months, make a small allocation, after twelve months start talking business. >3 you do not want to sell this kind of strategy. show it to anyone in the financial industry and sit back.
If you are an idiot, take the strategy and try to sell it. But you had better have ten years of backtesting results with you. If you are sane, trade it yourself and retire. If your thought was to retire on what they paid you for the system, forget it. Your fee would be profit-sharing based. No quick money in selling it.
what is important: do homework on how to present yourself. what is the universe you are looking at? how do you tackle survivorship an indexmembership bias in backtests? how many trades do you make per year? how many positions do you have on average at any point of time? what is your annual return? max draw down? sharpe ratio? add an equity curve, monthly figures and people will take you serious. show all figures net of fees. which are usually 2 and 20. i would take these. they are industry standard. most important: in interviews with fund of funds: be confident of what you are doing. the people on the other side appear strong, because they have seen dozens of guys like yourself, but they cannot do what you can do - otherwise they would do it. so be aware that their confidence does not come from trading but from routine. have all the answers you could imagine they might ask for. do no pretend. they get it. do not try to appear smarter than you are. smart is good enough. do not show willingness to bargain fees in the first meeting. it will not break the deal if you do not give in, but it might if it appears to them that you are weak.