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Not lying and not laughing. I wish I could be more convincing, but at least it's good to know that the performance is considered to be good.

Well, you're not exactly my target audience with 30% annual returns already. But I acknowledge all your points. I don't think that selling the strategy is workable.

I guess I'm just impatient. And as cruisecontrol mentioned, these things don't last forever. Thus, I am trying to figure out what I can do with the strategy now. Basically, I have not been able to locate any quant hedge funds in my area that would likely go for this type of strategy. I...

Thanks, for the encouragement, ironchef. But an IRA wouldn't work because I go short a lot. I will just have to keep growing the money I have unless something else comes along.

I guess I was figuring that my portfolio performance would serve as proof of concept for managing OPM, and that it would be easier to convince backers with strict risk controls in place. But now that I have the proof of concept, I can't figure out the second part. The average return will not...

Mortaging the house is not a bad idea. I have heard about the risks of prop firms, and Southern California does not seem to be a hotbed for them anyway. Selling the strategy is appealing. Realistically, I don’t know why anyone would pay a dollar for a strategy that they haven’t seen. OPM...

Wow, I did not expect so many responses. Thanks to all. Let me try to reply to some of them here: A few hours a day on average, but highly variable. It is automated, but parameters need frequent manual adjustment. I’m already in a portfolio margin account. I cannot leverage more. I...

I’m hoping to get some advice here about where to go with my trading. I’ll keep this relatively brief. I have been trading profitably for 4 years. Annual returns have been 20%. Max drawdown is 2%. Average holding period is several days. Always market neutral. Most volatility is on the...

Just got off the phone with Lightspeed customer service. I was told that using the API would require a $3000/month data subscription! That seems crazy. Can anyone tell me if this information is correct or not? Thanks.

One more thing. I think it did not start working again automatically. I believe that I had to restart TWS. Not 100% about that, though.

This happened recently. (See the thread "No market data permissions - SUN Feb 10"). They resolved it before Monday open, but it took longer than I would have liked. It's a bit annoying that they do not acknowledge the issue on their system status page.

My feeds disappeared around midnight last night and have yet to return.

I agree with you. It would be pretty abstract, but what I'm saying is that you could define a "volume day" as 78 (for example) consecutive 5000-lot bars regardless of how many actual calendar days those bars covered.

You are in effect then just using an alternative measure of "time" which is calculated in units of volume rather than units of real time. Just like a day is 78ish 5-minute periods, you could define a "volume day" as a certain number of 5000-lot bars. I have no idea how well that would work...

The starting point is that daily returns are not informative enough about vol. If a stock price went way up and then came back to where it started, the daily return could be zero. But the price path suggests there was significant volatility. If you looked at the price path at higher...

If you are serious about vol forecasting, I would encourage you to drop GARCH in favor of the HAR-RV model of Corsi. I'll post a link below, but there are many websites that describe the model, possibly in a more user friendly way. The problem with GARCH is that it typically relies on daily...

Any idea what the out-of-sample performance is like?

Mutual funds, I think. He's the founder of DoubleLine Capital here in LA.