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Definitely good to have other investments, preferably paying steady dividends, and to have a Last year things were a bit more chaotic as I was getting started but this is what my current setup looks like: Balance sheet: 4 months living expenses in cash About 35% of liquid investments...

I also don't agree entirely that leverage helps. It just increases your return, and your vol. Data fees and other expenses aren't that high. So most of your costs aren't fixed costs; they'll scale with size. If your return is negative after commissions leverage will just make it more negative...

Firstly if you're trading daily, it should be a reasonable assumption that you're signal isn't too quick. So if you backtested getting your fill at the next days close, how much does it degrade your Sharpe Ratio? If by more than 20% then you're probably using signals too quick for daily prices...

This makes sense. I think the average amateur trader should break even before commissions (exactly zero alpha). If we include "investors" then there is probably even a small positive average. But there is selection bias. Unless you get a constant supply of new customers then after a while the...

Returning then to the OP, in answer to the question "Can short term trading be more profitable than long term", we can agree that the answer is no for 90 - 95% of traders. I certainly know I'm not in that group (the top 5 - 10%). I'm very happy to make a SR of 0.85 with a fully automated system...

I still think the difficulties of daytrading are being understated here. Let's look at a simple example. Suppose you will make $200 or lose $100 precost on a trade which costs $25 (or 12.5% of your winning trade as you suggest here). And that to make it simpler let's assume we just do one...

That list seems to be missing a few of the biggest players. From personal experience of the larger CTA's I would rate AHL, Bluetrend (now systemica) and Aspect (all inevitably European shops). All have done pretty well in the last 12 months, but the recommendation is based more on having a...

Obviously R, Python, MATLAB can do all this (as can most decent languages), although clearly there would be a lot of work to create the appropriate backtesting enviroment unless you used a third party package . R and Python are free. Of the two I'd choose Python. Although I write my own stuff...

The first line is the "European VIX" May contract. The second line is the US VIX, also May. Note that the VIX has about 9 times the contract value of the V2X, and about 8 times the risk.

Trades since I last posted (26th March): code contractid filled_datetime filledtrade filledprice 3108 ASX 201506 2015-03-27 01:50:32 -1 5925.000000 3136 AUD 201506 2015-03-27 14:13:14 -1 0.774800 3205 AUD 201506 2015-04-02...

I realised that. I just find it interesting when people describe "Long term" as more than a days holding period.

Depends what you mean by long term. Taking a one year view there was an incredible downtrend, which anyone with a holding period measured in several weeks plus would have been able to capture.

http://stackoverflow.com/questions/770579/how-to-calculate-percentage-with-a-sql-statement

The good news is the law of active management; sharpe ratio increases as the square root of 2 every time you halve your holding period. I reckon my average sharpe per market pre-cost is about 0.4, with roughly a one month holding period. With a one day holding period that sharpe "should" push up...

I think you're right to an extent. It's mentally definitely very difficult to trade a positive skew strategy. To take an extreme example, suppose you have a Taleb style tail protect strategy which returns 100% every 10 years, and -5% every year. That is a positive expectation, so worth trading...

Review of first years performance

Drawing on what other posters have said, you have no edge so the Kelly optimum is not to bet. Since you're betting more than that zero you'll end up losing money (you'll never hit zero, since in this stylised example that's impossible - you always get out at your "stops"). The average terminal...

This is probably something I will put on my blog in due course, and I'll post a link here.

To be precise I target 25% annualised daily vol. So its the daily vol I'm targeting, not the annual vol. Because of time series correlation, the two might not be the same. Also I get a new figure for daily vol every day, so its easier to know if its in line. I watch my daily vol like a hawk. My...

Well Sharpe Ratio is return over risk; so it should not be affected by the amount of leverage you are using. With a 25% annualised vol target, and an expected Sharpe Ratio of 0.5, my expected return is 12.5% a year with the leverage I've got (I talked about leverage in another post; I think its...