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I guessed that's him too, but I don't make assumption about anyone's identity just based on their screen name.

Hi rvince99, I think you are referring to the "leverage space model" developed by Ralph Vince in his latest books. I think it is safe to say that the academic world is probably not aware of this model. You also seem to be making the claim that most academics are ignorant since they don't...

Hi sjfan, Thanks again for even more clarification about how the industry really works. The walmart analogy is great in that it shows economy of scale also applies to traders. If the odds are so against individual traders becoming successful on their own, would you recommend someone whose...

Thanks for everyone's reply here, but I don't think my question has been clarified in a fundamental way. While it's true that the authors I mentioned focus mostly on position sizing for each trade, the trader must at some point start to think about portfolio composition and diversification...

In the trading literature, when the topic of money management is discussed, most traders would mention or are aware of the works of individuals such as Van Tharp, Ralph Vince, Larry Williams, and Nauzer Balsara, etc. I am fairly familiar with the works of those individuals. However, being an...

Hi sjfan, Thanks for offering an insider point of view. The difference between managing billion dollar hedge fund and the "trading" in the context of this forum is exactly what I am trying to understand. With all due respect to those actually working in the industry, what I am about to...

The large institutions have separate job postings for traders and PMs. How exactly are their roles different? Don't PMs have to make trading decisions? And traders must manage the trades(portfolio) as well? What is the typical career path that leads to PM in money management or hedge funds? I...

Yeah, I agree that gummy is not the most browsing friendly website. It takes an effort just to find things. I am also interested in risk management for pair trading strategies. Are you supposed to figure out the correlation of returns among different pairs and use some kind of model(like...

Hi Matt, Thanks for sharing your experience with someone totally ignorant of stat arb. It does seem like an interesting strategy that I shall study at least a bit in the future. :) Best Regards,

Hi Matt, Can you describe, in very general terms, the performance statistics that can be expected from such a ETF/stocks stat arb strategy? Like % win, avg win/avg loss ratio, Sharpe ratio, trade frequency, etc. I saw some job posting looking for stat arb traders with Sharpe ratio between...

Hi Matt, WOW. I was not expecting such a long and serious answer to this apparent newbie question. Your comment is highly appreciated. I have actually just finished E. P. Chan's book a couple months ago and found it a very excellent book for dealing with practical issues in automated...

For those who are trading with stat arb strategies, can any of you recommend some books to learn about this topic? Also, what is the typical trade duration for such strategies? What kind of software setup is required? Can this kind of strategies be implemented with a retail broker like IB or...

Does anyone have any experience with Market System Analyzer from Adaptrade Software and Stator-AFM? I need a tool to help me build a portfolio of several mechanical strategies. I need features such as optimal position sizing per trade for each strategy, optimal fund allocation for each...

If you don't day trade, what's your average monthly volume? Don't the prop firms want at least +500k shares per month?

As titled. I am just curious to see if anyone does purely position trading(holding overnight to several days) at a prop firm. Of course that means reduced leverage. But is anyone doing it just for the sake of accessing the firm's capital or the software or whatever reason? It seems like...

Thanks for everyone's help. The reason I don't use TS is because its functionality is quite limited. Also you are stuck with their brokerage. Some brokers do provide good examples and documentation for their API, but some don't. I think I might have found the API example in Laser, but...

It seems like every firm that uses Sterling charges about $200+ platform fee per month, which makes the deals less attractive.

Another major frustration is when your wife/girlfriend is not being supportive of your work. My girl friend seems to have this misconception that ATS==ATM, even though I tried hard to explain to her that it's probably harder than any other business. Also she kept asking me if it's "done" yet, as...

Hi Bob, That must be quite frustrating. Somehow I feel basket trading isn't that unusual of a strategy. But it seems like not many people are actually trading in this fashion, therefore the lack of broker support. Regards,

Can you name some that do?