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Is this type of LLC (trading firm) different from other LLCs? Do I have to specify the type of business in my filing. They will trade from home. Do I have to register to do business in the all the states that they reside? MA LLC law doesn't favor the general partner. The general partner...

I can find a group of active traders (my ex-coworkers) who are wealthy and don't need to have leverage. Do you think they will join a prop firm if I start a sub-LLC? What benefit will they get from joining a prop? How do I start a sub-LLC? How much is the initial cost, and the operating...

It seems that TOS doesn't have the level 2 option quote. I was told that IB provides the level 2 quote. I am actually opening an IB account to compare these two software.

Profitaker, I think i got it right. There is web info from Sharpe in case someone is interested to know more. http://www.stanford.edu/~wfsharpe/art/sr/sr.htm

Why do you want to sell? Assuming a profit of 3 mil a year, I am surprised that you didn't want to pay for a good software engineer (to save 150K)?

Will you look at their growth trend and use PEG as a valuation method?

You are right. You need to multiply the square root of time to get annual volatility, but you need to multiply t with daily return to get annual return. The effect is: Annual Sharpe ratio = square root of 256* daily sharpe ratio = 16*daily sharpe ratio. I hope i got it right this time.

I understand that. I think your bid is too low with your assumption of current $3 M operating profit. The consistent performance of 30% for 5 years (without changing the strategy) is a very impressive one. However if they keep changing their strategies, there is a possibility that new...

I think you divide (not multiply) the daily stdev by sqrt(256) to find the annualized volatility. So the annual Sharpe ratio is sqrt(256) = 16 times higher than the daily Sharpe ratio.

So my figure is correct. square root of 256 is 16, and I use the factor of 15 instead of 16 for a rough estimate.

Are you kidding? The revenue from performance fee is around 6M a year. What are the operating cost, and operating return? These are the minimal info for valuation?

You misunderstood my question. I understand you use the daily data. Do you annualize it, and hope the Sharpe ratio > 1? [edit] Using 6 months data, the ratio of 1-day excess mean return to 1-day standard deviation is around 0.1. So the annual Sharpe ratio is around 15*0.1 = 1.5...

Do you mean a daily sharpe ratio of 1 or annual sharpe ratio of 1? There two differs by a multiple of around 15.

Yes, I remembered Mav mentioned it before.

I use a different approach. When delta moves from positive to negative, I will add another put diagonal to adjust the delta to my comfort zone (not neural). Since I open the new diagonal with a better IV (smaller IV), I have a chance of getting a bigger profit. I didn't want to close all my...

Portfolio daily P&L is not accurate because of the bid ask spread. Do you use the worst case, or mid as your daily P&L data? It deviates a lot. Say for example, after I just open a position, I will see a drop in my daily p&l because of the bid ask spread. Sharpe is good for a very...

IV, I guess I understand it. Let me rephrase it. The sample size depends on the r/r. If it is a high prob winning strategy, you require a much bigger sample size to have a significant conclusion in the analysis.

Mark, Can you tell us the reasons why you closed Feb/Jan diagonals so early? [edit] I don't think the index has moved to your short strike locations, your usual exit points.

RM and segv, Do you think the sun will rise from east tomorrow? You have confidence in it because of the experience or "statistics". You have the model of science to describe the physical world but they all infer from the "past". Do you think it is real? Yes, you do. Nobody knows the...