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I have considered doing that - mount them one on top of another. Probably would be cheaper as a package too

Are you getting ready to baptize him? :)

@ajacobson - are you sure? I think OMM can CXR (at lest off the top of my head I can’t think of a reg that would prevent them from doing so). Truth is, they don’t even have to - since they will fill you on the display size (say a 1-lot) and pull the hidden portion. Even the price- improved...

Well, there is something to it - gambling is a form of entertainment and nobody tries to pitch it as a way to invest (at least I hope so).

You can invest your cash into an ABS backed by a pool of payday loans. It’s very pleasing returns-wise and is totally legal but that does not make payday loans any less predatory.

Well, that kinda does not mean anything - some dude can leverage on some technical indicator but the strategy would be systematic by virtue of him doing the same thing every time. I think most people mistakenly think systematic equals automated.

I think he is implying that running a casino is a scam too. If you prey on people’s ability to analyze numbers without supplying them with hookers and blow, its a scam in my book.

How could you tell that they are not systematic?

It depends on your prior hypothesis really (for example, are the securities co-integrated?), so it’s impossible to generalize.

Well, or maybe it’s worth joining the Dark Side (becoming a market maker on Nadex)

Through my years in finance, I have yet to see any non-systematic traders that have realized Sharpe ratios over say 1.5 in the long run so I will take this with an appropriate grain of salt. But I am not going to say it’s totally impossible either.

Because I am bored :) something @lawrence-lugar wrote as a response to a system seller caught my attention and I figured we can discuss it.

Well, but it does in various forms - not getting an improvement over the NBBO which you could have gotten on the exchange, getting partial micro-fills only because the OMM gets to pull the order etc. It’s much more statistical so it’s not as easily apparent but it will add up across a large...

I have a system based on the Heisenberg’s indicator that fits all of your requirements! Send me a pm...

Actually, simply by virtue of information complexity (a discretionary trader has a much higher number of inputs into his decision process than any systematic strategy), you would imagine that even the best discretionary traders tend to have lower win rates but higher expected value per trade. My...

Returns on capital are ridiculous - it’s common to see 10-20% a month before technology costs (that’s where the catch is) and UHFT players produce up to 10x of that. It’s not the traditional drawdowns that an HFT trader should be worried about, its loss of alpha and the ensuing bleed...

Interesting. I would have to rotate it 90 degrees though to fit into my space

Well, you have to do look at some sort of risk-adjusted returns otherwise it all becomes meaningless. HFT produces really good returns on capital because of the high turnover rates (it’s pretty amazing to see what sort of working capital some HFT firms use, actually). If anything, what makes...

Good stuff! Thanks! Interesting that he thinks risk-parity is gonna break down this time around

Think for a second about the advantages of discretionary trading - consistency is not one of them. To take it to the extreme, any institutional HFT strategy produces much better results than any discretionary trader ever could. Yet investors do seek out and hire discretionary macro and...