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This is not the reality. Notional funding is not limited to 50%, but can be as high as the client can negotiate with the FCM. jj

Man, you got that right! jj

No offense, but that might be the worst advice I've ever heard. jj

Yeah. In fact, 30-100-30 comes out significantly worse than 30-10-30. (1.32 vs. 2.02) [B] There are a hundred different measurements that people use to varying degrees. The bottom line is that there is no "best" or "ideal" measurement of risk-adjusted performance. So far, the best...

Your calculation is correct. Upon closer inspection, it appears that your style shift might have occurred in the third year. Only you can know this for sure. If you were doing things differently, then exclude the data. If you were doing things the same, then do not exclude the data. Do...

You do have enough data to calculate a Sharpe Ratio (all you need is two values). Using more data improves its significance. You should be sure to only use comparable data, though. It appears that you may have experienced some style shift or a change in leverage used after the first two years...

Sounds like you've got things pretty well nailed down. Nice work! Next step is to "hire" a salesperson to do fundraising. Industry standard is in the neighborhood of 20% of fees. A good place to start looking for those is http://village.albourne.com. If you know any brokers, most will be...

That's what I mean by a difficult decision. You are facing the problem of limited resources and it sounds like you might be spread too thin. Patience is the key. I'm certain that if you give up some "cool" things for a while (e.g. development of new strategies) and focus on making one good...

Sounds like it might be time to cut your operating costs and plow the freed capital into the new systems. As you have said, "this is a business," and it appears to be time to make some tough business decisions. jj

No, I would not consider margin until the very end, and then only to make sure that the account was large enough to bear the expected drawdown and still have enough margin to continue. I mean: AvgDollarVolatility(N) = AvgTrueRange(N)*DollarValueOf1Point where N is some number of periods...

One thing you might consider looking at is the average daily dollar volatility of the markets. That is the average true range expressed as dollars. It will give you an idea which contracts are the quietest in the way that matters most. jj

I am very sorry to hear about these unpleasant experiences. FWIW, I am an "emerging" CTA and systems developer. I've written 11 long-term and ultra-long-term systems and decided to make one of them available to the public. My main reasons were as follows: 1. It is similar in purpose and...

I did participate in the Q4 2003 CTA Star Search competition. Sorry I didn't respond earlier, but I just ran across your post. These were the full restrictions: - 35% maximum M/E Ratio - 30% target annualized daily volatility - 25% inception-to-date redemption point - 35% peak-to-valley...