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I guess if you change the portfolio daily, it would add up, but if you rebalance weekly or monthly, slippage should be less.

query Google James Simons This one was good WSJ http://infoproc.blogspot.com/2005/06/real-smart-guys.html http://www.google.com/search?q=%22the+secret+world+of+jim+simons%22&btnG=Search&num=100&hs=aA9&hl=en&lr=&client=opera&rls=en very good pdf

How does a hedge fund like SAC go about a hiring binge? Seeing how they have no website... I read one NY Times article, but it was primarily about other things than hiring. Is there a different article? Thanks

They are risking not having enough capacity to maintain the returns they have generated in the past. Thats why they have a $25 million minimum investment, and a 50% performance fee. Someone else to watch is Jim Simons Renaissance fund. He says there is no capacity limit to it, and it can...

Someone gets a blue ribbon for that post. Excellent!

What instruments do they trade? Thanks

It musnt be, thats wrong! It cant be for any legitimate financial site. Drawdown is the highest high to the lowest low with the highest high preceding the lowest low.

like I said, 25 billion endowment at 9% a year more than pays for approx 920 million generated from harvard tuition for 23000 undergrad and grad students, and the 2300 staff which would cost 1.15 billion assuming $500k per professor for expenses of running his lab or other activities. 25.9...

Actually most ivy league schools have so much money that every student regardless of background could attend for free, forever. As long as the endowment returns what it has been 9% or so, this could continue, and might even happen. Notre Dame makes so much off its royalties and tv fees for...

4 X in 2 weeks? Great, now it only takes you a week to blow your account.

Couldnt add to my post so... It seems none of these systems do well trading only the SP500. That sends question marks through my brain. I realize the returns are likely lower when trading efficient stocks, but you should be beating the index by alot when trading a system. My other SP500...

I cant believe people watch this show, cramer needs to visit the pharmacy. Im definitely not intimidated by pedigree having seen those kids tonight.

I paid attention to your note about changes in the returns when modifications are made. I tested Momentum Value on the SP500 and it didnt beat the index, in fact it was less than the index when I made it buy only 52 week highs and sell after a 20% drop. The system only performed when their was a...

I tested it without any valuation and used the ranking system based on price strength relative to the universe of stocks and the returns appear realistic, 20% or so return with 40% drawdowns from 2001-present. Id like to find a way to code my own relative strength ranking system on another...

This looks like an exciting site. For me, a way to increase my sharpe ratio, because my current system has a low ratio for some reason. Is there a way to use other peoples models? For example the value with momentum strategy looks great, 50% returns and a 2.4 sharpe ratio.

whats the annual return

I doubt bright or any prop firm will let you trade your own capital, i.e without 25-100k as a cushion. I have looked myself, and no door is open to trade your own strategy without some money behind you. The other problem is drawdown. There is no strategy without a drawdown, and the cushion needs...

Its more complicated than that. I own the books, the program, and I traded it myself, tested it manually, but the problem is ultimately you choose the entry and exits, making the program subjective. Its a good tool to short a bounce at the 50% float line, it has about 50% chance of succeeding...

weed, which one of natenburgs do you recommend for trading options?

For pricing options, read Espen Gaarder Haug, The complete guide to option pricing formulas. Read McMillan On Options for strategy But stay away from online gurus.