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Trick question. Function of what type of returns you are going for. ~10% per year return then maybe 15-20 percent drawdown but obviously higher returns strategies are going to have higher drawdowns.

Ill push back a little there. I dont want 50% drawdowns either and likely if you are running other peoples money and dont have a pretty legendary reputation you will lose all your assets. Funny though some great high returns strategies such as pure CTA style trendfollowing at a certain vol...

Curious, why do you say its a "shit language"? I have found learning Python very useful, it certainly made me a better trader in the sense that I can test things more efficiently.

Matlab isnt terrible, but my advice - go with Python. It seems to be eating finance (with the exception of the HFT space where speed is a huge deal). There are already backtesters coded in Python (Quantopian, backtrader, and many more). If you search for trading jobs, Python seems to be the...

In theory maybe, but I think you are vastly underestimating the kind of capital that would take. Obviously depends on the market, but you would have to a LOT of money following your picks to move the price in any kind of substantial way.

Looks fancy. Any color on this firm?

Hey bob thanks for this insightful post. Your example does make a lot more sense. This is only available via a partnership/backer? (As opposed to a firm offering such a deal)

Proptrader23 I would love to hear more about it if you are willing to share - Are your losses split evenly or is there another arraignment? - Is there a point where you take all the future losses, such as if you are down x% the firm no longer splits loses with you. - Do you know what you max DD...

Prop firm that: Requires deposits from trader, but splits losses? Maybe up to a certain point? For a relatively smaller (but not too small since some of your money is one the line) split compared to first loss? Also lets you hold positions overnight and doesnt charge interest (aka your...

Quantopian and Python. By far the best and most flexible tool I have used to test ideas. Before that I used TradeStation.

It definitely takes work to learn how to code in Python but Quantopian is a very powerful free platform to test trading strategies. It will be frustrating at first learning to code in Python, but the effort will be well worth it. I think its one of the best skills at trader can have these...

separately managed account.

Anybody have experience running SMAs at IB? From what I can tell you can just trade an institutional master account and have the SMAs basically mirror the master account. Seem very scalable (trading one account basically same amount of work as trading 100). Also looks like a good amount of back...

If I had the "problem" of getting taxed at 70% on income over 10MM that would be awesome!

I will also add, even if you have a strategy that "only" has a sharpe ratio of say 0.5-0.7, that strategy can still add a huge amount of value if its not very correlated to other things in a portfolio, most often equity Beta.

Maybe the 1.5 Sharpe is not a hard rule? Makes you think why did they put it on there in the first place though. I agree about the Sharpe ratios in general though. Sharpe is one of those numbers that needs context. I had a 2 Sharpe for a while, aka my first year trading with my current...

I am a big fan of Y Charts. Not free but not super expensive like Bloomberg

Fair enough, even though I bet just daily account values are sufficient. Its more about everybody's paranoia regarding trading secrets. Its my experience that some of the best traders freely tell you what they do (maybe not exactly, but give you an idea). Unless you are at the bleeding edge...

It doesnt say "give all your trades" . It says show the track record (probably in the form of daily returns). Any serious PM job would ask the same, along with a qualitative explanation of what you are doing.

Thanks for this report, it was an interesting read (I just read the short vol part). Certainly would have to keep a short position in VXX as a small part of the portfolio. Should be noted that VXX is not a leveraged instrument and just as long exposure, though I do need to wrap my head around...