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I try to read academic papers with some regularity. Market neutral, Asset Allocation, Commodity forecasting, etc etc. I read this stuff mainly to spark unrelated ideas in my own mind and I go on to develop things that are proprietary and not published anywhere. I rarely have found anything of...

I just read your post and thought maybe you had read my mind! I hired an R programmer last week to write me the program. He will be using parallel processing in his code.

their 'stock index writing' strategy is awesome. But the 'diversified option writing' has had significant challenges.

yes IB lets you debit fees in friends and family accounts. Just make sure you stay below NFA registration threshold with regards to AUM and # of clients. To protect yourself, you should have a standard CTA disclosure doc and management agreement even though you are not a CTA. I am curious how...

One thing to note is the blowup potential in the strategy you are doing. Not saying you will blow up but that niche is littered with CTAs who had good multi year runs only to blow up and shut down after an abnormal vol event. We see this in the equity indexes of course. But other assets present...

This is something I have been thinking about lately so let me expound. 'Consistently profitable' can mean different things to different people. At one end of the spectrum are the sophisticated high frequency guys who define consistency as never having any losing days. Then there are those...

c'mon you should do your part and pay up. The state has to support all those hard working public employees and retirees with their $220k per year benefit packages in perpetuity.

probably saying that it tries buy a dip or short a spike prematurely ie. wait for the rsi to be below 30 or above 70 for a second day in a row before pulling the trigger.

my MOO and MOC fills are fine at IB. When I compare with my data vendor OHLC it compares well. Correct me if I am wrong but don't all queued Market orders before the open receive the same price (the opening cross)?

As other replies mentioned, how big is it compared to your long term backtested drawdowns? If it has exceeded the expected maxdrawdown by a good margin then you need to shut it off or reduce. Another rule of thumb is 1.5 times the standard deviation of returns - if the drawdown is deeper than...

thanks rosy & nach. I will explore your suggestions.

A lot of my current strategies are cross-sectional in nature. They rank across a universe of stocks for several factors daily. Then it does a weighted average of the various factor ranks to come up with a final score for each stock. I do this for a universe of several hundred stocks daily in...

Quite exciting news, might be an interesting way for asset managers to unlock new AUM.

When I filed my tax return on April 11th 2014, my CPA checked the box on the K-1 and claimed the 475(f)-MTM election for my trading entity. So I thought I was all good to go in 2015 for MTM based taxation. However I did not know I was required to mail the IRS a written statement stating my MTM...

thanks for uploading. I volatility normalized your different systems and fed the return streams into my system picker. I didn't come out well. It underperformed your equally weighted portfolio. In my research, system timing does work but it tends to be sensitive to the characteristics of the...

Nice work. Don't want to sidetrack this thread but I working on a system activator/de-activator algorithm and like to test it out on other people's return streams as a robustness check. Any possibility you could upload an excel file containing daily returns for each of your systems? If you'd...

In my past i used work for an affiliated firm of ahl so i was somewhat familiar with their product. Ahl, Aspect and the like would have gradually building and tapering positions in various markets over multi systems like what you are doing. But such firms had a sharpe of maybe 1.0. You have a...

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google incubator funds. your other option is to not go the hedge fund route but instead do separately managed accounts.

I just signed up for a free account there and looking at some of the symbols traded. Most of the stocks seem really thinly traded. And all of them are "HTB" (Hard To Borrow) on ThinkOrSwim. Are these profit curves based on actual executions or simulated? I would think transaction costs +...