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There are inherent disadvantages to the conventional CC to the active trader. But your slippage points are valid.

BTW, it is comments like this that suggest you really don't understand the topic being discussed. Anyone who truly understands the topic would know right off hand what is wrong with this statement. So your supposition that you know more about synthetics than anyone here, is obviously incorrect...

I suggest that you be a bit more likeable here. You actually might learn something on occasion. Contrary to what you might think, you aren't the smartest guy in the room. Let me ask one question that might clear things up a bit. Does the hypothetical CC strategy always assume that the...

Certainly, your points are correct. I wasn't really talking about angel investing in tech funds. My skills lie in discovering areas where a company (or investment property) can dramatically cut costs or increase profits, and pulling together strategic partnerships. I have no interest in...

Hey, who said anything about futures? .... don't let the cat out of the bag here!! :D

Sure, you are correct. I guess we are just assuming two different things. Maybe because in my fast typing I swapped terms here and there. You--- He is currently trading at a frequency of 1 round trips daily, 50es contracts. Scaling up means 10 round trips daily, still 50 contracts...

Whoah.... your lack of understanding is what is confusing you it seems. I'm not trying to be rude, just trying to help you understand. You aren't buying and selling vol at different times. So the vol argument is a moot point. If you already own the stock (or were assigned the stock) simply...

Like I said earlier though, in my 1/2 joking post. 3000 ES daily is ok as long as it is scaled in. Obviously a 3000lot market order is gonna incur some slippage. But six 500 lot buy limits wouldn't have any problem on ES if he isn't catching the bottom of the bar.

The only reason I'm still participating in this discussion is because I like you Heech, and you are incredibly civil, even when skepticism is bursting through your keyboard. I don't think you are judging my abilities at all. I should point out that the above example is strictly hypothetical...

I don't completely disagree with you here, but I think if I were to gauge my performance they way you are suggesting, it would actually be less representative of actual results. I don't worry about collateral bonds or the like. I trade from a cash account. When I suggest 300% returns it means...

I actually think the best version of a CC strat is the buy-n-hold Joe Sixpack investing only in the broader index like SPY. IOW, the guy who isn't going to sell the underlying regardless of what it does. Rain or shine, he just keeps adding to it every month. This is the ideal way for him to...

Sorry Ninna, you missed the point. I'm NOT talking about 20% annual. I'm suggesting around 350% annual and a strat that can only scale up to about $30MM. Do the math again, using my numbers this time and tell me if you reach the same conclusion.

Sorry Big D, Gonna have to side with the other guys on this one. It seems that you are actually the one who is missing the critical points here, and it is quite evident that you don't in fact understand things as well as you claim to. I do understand what you are trying to say, I think...

I really didn't catch this post before, but I think it is worth getting back to. I really would like Heech's take on the question that I asked earlier and it might shed some light on the answers he's seeking in this post. Heech, you have implied that by taking the steps to validate my track...

Sarcastic isn't the word. Not sure what I would call it; vocab isn't my strong suit. I was totally serious about the theoretical possibility, but facetiously implying a high probability.

So true. Even with a sharpe 3.4, I only really ever use about 15-20% of available margin. A high sharpe isn't a guarantee of rapid success. There are still freak periods where price action goes screwy.

Your premise is correct, but I don't see a reason to stop at 150 cars on a ticker like ES. He already stated that he rarely nails the top or bottom of a bar, which means he can run limit orders. Slippage then is a known variable cost and wouldn't increase with size, within reason. Given those...

Best of luck. :)

I completely agree with what you are saying. We are sort of talking in circles here. You are talking about 40% annual. In that case I would absolutely be interested in starting a fund. I'm talking more along the lines of 400% annual. It is a completely different situation. Anyone good...

Ding ding ding... We have a winner!!!