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The key number is still Sharpe (or Sortino, if you prefer). If you have proven performance that shows a 1.5 Sharpe over 2-3 years, even with just 15% annualized returns, I speak from personal experience when I say you will have a lot of institutional investor interest. Professional managers...

I don't get it. You started by claiming that most of the self-proclaimed successful traders on this site are smoke and mirrors unable to trade consistently... but now you state that you have a strategy that returns 400% annual up to $8mm, and presumably still does very well up to $30mm. To...

I don't really want to speak to any individual trader... I'm not questioning anyone's skill, partly because I don't consider it my role to judge anyone, but more importantly because I know nothing about what you're doing. So, let's make clear I'm not talking about Cache Landing or anyone...

How much do you have invested in this first main strategy? Is it already greater than $30 million? And if not, *why* not trade other people's money? You haven't given me a compelling reason. Even if all you do is raise $1 million of OPM, you are still making more money than you are currently...

No offense, but I have to question statements like this. Why's there an issue with scalability? What are you trading where you happen to be grabbing the last contract filled at your price level? As far as legal complexities or cost of setting up a fund... if you have superior performance...

Too bad Chinese commodity exchanges are closed by the time the USDA reports. A lot of liquidity in the grains there, as well.

Jesus, that serious? I hope thats not the case. Implied vola was up in many of the grains today, but not *that* much. If you really thought that was going to happen, you shoulda bought a straddle. Coulda bought a May corn straddle for 60, or a bean straddle for 80 today.

And last Oct 8th, with milling wheat.. you would've had 4-5 minutes (post report) where you could've bought wheat at about 3-4% premium. In contrast, CME wheat opened up 10%, and basically stayed there. That's probably good enough for me... just trying to avoid a massacre in case it starts...

To answer my own question... looks like milling wheat out of Paris is the only instrument with enough volume that it might make sense.

I'll have to look at the charts... but even if the near-term bids/offers disappear, I'm just trying to hedge against the 15% moves like we saw last October. Any sense which LIFFE instrument might make the best correlated hedge for American grains? Milling wheat, feed wheat, or corn?

http://www.agriculture.com/markets/analysis/wheat/trading-usda-repts-insttly_11-ar15677 This is a very interesting sales point. It drives me nuts that CBOT is closed around the USDA trading report. Being able to at least hedge via LIFFE wheat seems very attractive... Has anyone looked...

Exactly. And even in that case, we don't know whether that 62bp is really statistically significant. (I didn't actually read the paper, just the summary on the link above.) If you had 100 monkeys sitting in front of a computer hitting buy/sell once a day, without doubt a few will be two std...

Ah, perhaps there will be hope... CBOE is still looking around for a lead market maker, but whoever is so designated will need to make a 0.15 wide spread. I would definitely use that. http://cfe.cboe.com/aboutcfe/infocirc.aspx

Looking at my BB, looks like implied vol on ES was approximatley 28% at the time. So, the 2.5% move up on ES was roughly just a 1.5 standard deviation move (in daily terms). I don't think that move should've really been such a shocker... looks like ES had been doing 30-50 pt intra-day...

If you read the article in detail... he actually didn't "buy Japanese stocks". He just closed out his short hedge on the Nikkei futures, while leaving his long positions on individual stocks. I agree that decision doesn't make any sense. He should've either left the hedge on, or (more...

You know what I just realized about the original program that started off this thread... HE CHARGES A 50% INCENTIVE FEE. Now, I'm really amazed. http://www.iasg.com/groups/group/the-barbashop-llc/program/3-program

CBOE gold vix futures started trading today, and alas... they also suck. Current market being quoted for the front month contract is 17.75/19.25, so the spread is even wider than the CME version. (And also interesting that the CBOE gold vix comes in a few points higher than CME... but I...

That's interesting choice of "discounting". I'd rather discount his first two years when he had $15k in the bank, than last year when he had $400k. Are you also going to discount where he is this year? (Flat) neke has had a great run, and I'm a big cheerleader for his continued success...

Glad to see the voices of reason in this thread. Those who claim 30%+ a month, 100%+ gains a year returns are "reasonable" simply haven't been doing this very long. They probably had a 15% month, and are feeling adrenaline coursing through their veins. Let's put it this way. Babe Ruth's...

Interesting, and that makes a lot of sense. Currently, I try to put on delta neutral trades, since that's the only way I've found to get a decent quote from the MMs... even via RFQ. The approach you're talking about seems very interesting. Look forward to getting larger in size and doing...