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I'm not saying he's an angel. Im saying that he's the one who implemented the idea successfuly. Nobody gives a damn who came up with the idea financially speaking. The person who can implement the idea gets the money. Simple. It might not be fair but life's not fair, is it? Ninna

Ideas have no value. You can't patent an idea, only its implementation. Thats why Zuckerberger is rich and the others aren't. Ninna

How do you compute your returns? What's the r:r ratio when you enter/roll a spread? Ninna

A guy told me this with a smile one time when I asked the question: "Well, actually you shouldn't hire me because if you do, in about two years I will be sitting right where you are as I will have taken your place." I hired him. :) Ninna

We need to regulate to enforce this. We can't let a food bubble inflate. Ninna

Your approach is sound. You definitely have an edge which is all that counts in the end. The problem with your approach are the drawdowns. But if you can hold through them you will compound your capital at a healthy rate. In order to minimize drawdowns you could look at optimal ways and...

Interesting... What kind of methods do you use to identify the various types of market participants? I know from experience it is a difficult task. Ninna

The trade frequency is irrelevant if you suffer from regime shift. I have mean-reversion systems with thousands of trades per month that perform extremely well from 1990 to 1998 and then crash. 1998 really seems to be a turning point for a lot of mean-reversion strategies. Since you don't...

Then you clearly don't understand what the profit factor is... From the pf and trade frequency you can compute the maximum DD (within your chosen confidence interval). In other words, if your pf (or trade frequency) is good enough, the DD can't be excessive. The DD depends only on the pf...

Sure, The rolling pf gives you the distribution of your profit curve. From this distribution and the trade frequency you can compute profit and drawdown (and anything else you like) using monte carlo. It is the only statistically correct approach as measuring profit and DD directly from the...

As I said, if you can't compute it yourself you need to buy it. I know that Bloomberg sells it. However I'm not sure if they provide historical weights. Ninna

http://www2.standardandpoors.com/spf/pdf/index/SP_US_Indices_Methodology_Web.pdf Or you can buy it from data vendors (Bloomberg) Ninna

You only need to look at two things: -Rolling profit factor -Nb of trades The rest is noise. For an intra-day strategy I would look at 15+ years of data. For daily, weekly, monthly 25+ years is good. Ninna

It's funny how people (here) think they need money to help other people. The truth is there's no shortage of money. There's plenty of money floating around. However there's a shortage of people willing to give their time and energy. Ninna

I was speaking for my company. We package (i.e. combine) trading strategies into what I call "products" that we then sell in the form of (hedge) funds. Yes, I am sure. If the Sharpe is too low it would not be used as a stand-alone strategy but as long as it is consistent it can be useful...

This is definitely no scalable enough for institutional investors. I would try to look for someone (friend, family) that can invest 50k-100k if you don't have them yourself. You would then quickly reach the 200k limit. Good luck Ninna

There are no rules. It depends on the system and the parties involved. We considered literaly thousands of systems and we only bought a handful. For institutional investors (as far as we are concerned) the most important characteristic of a system is its consistency. The profit factor...

By people willing to "die for your freedom" did you mean people willing to "engage in two illegal and unjustified wars and killing 100k's of innocent civilians"? Cause that sure sounds like the definition of heroic to me... Ninna

Americans, like most people (and yourself it seems) have no understanding of basic statistics concepts. There's confusion between correlation and causality here. Ninna

You can use LEAPS as the underlying and sell front-month calls against them. You then profit from the exponential theta difference between the two expiration dates. Ninna