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Same boat. Great system, no money. Basket trading equities (market neutral-beta is very close to 0): before optimization, using default variables (0s): 40%/yr, 17% max dd. Tested over 10 years. Commish: .35c/shr open, same for close.

Curtis & Others: Have you tested the system on equities when adjusting for the positive average return (single equity's trend, or behavior explained by the market)? Any luck? If you haven't, I'll make this a project for myself. Best, Morgan

How much do you get from rebates? How do you get rebates?

That's perhaps true, but the institutions are the ones that know how to make a LOT of money, not just a good living, so I have patterned myself mostly after them, and not the average prop trader. As such, you still need similar skills.

Education is not worthless as many of these people think. The truth is you do greatly increase your chances of running or managing a large amount of funds, and you do greatly increase your chances of doing well at it. Look up jobs at hedge funds and see what they require. 1. Quantitative...

You asked about style of charting, I'd definitely go w/candlesticks. I would echo this for one reason: Other types of charting are generally identicle (save P&F), but lose data (P&F also loses data). Unless there is a point to ignoring data, don't do it, especially while you are learning...

Hi, 1. Contact me when you are finishing first year university. Just "from ET, almost 2nd year university now" will be enough. ONLY if you follow through on your trading education between now and then. morgang_finance@yahoo.com 2. The books are fine, but at this stage of your...

More seriously, closed-end funds trade at a premium/discount to their assets, and this premium/discount is an estimation of the NPV of out/underperformance. So it's not cut-and-dried like with an open-end fund that you're going to do well by shorting it. You will find arbitrage relationships...

The key is to CREATE a closed-end fund, short it, go long futures (just to be extra secure), and churn like your broker wants you to!

Isn't it easier just to track the average change from the open at different times in the day? That gives you a better visual, and you get more definition in the series (can do it every .01 seconds with no problem)

it'd be pretty fast

One thought: Optimize over a very long time span, but control for volatility of the underlying. Using this, find system profitability per unit of volatility for different system variables. Then imput volatility and maximize profits after commissions by changing between systems with...

I have already programmed a system (preliminary - primary, but not yet secondary trading rule has been coded), and am wondering what to do with it. It's profitable after commissions, market neutral. I have been working towards starting a hedge fund, but think it will be very hard to raise...

Funny stuff...

Thanks

What kind of costs are there for a market neutral strategy, besides commisions? Specifically, I understand you get less than the risk free rate on cash holdings as a result of short-sale proceeds. How much less than the risk free rate should one expect...

axeman, I think the system is designed to be traded on multiple markets b/c that keeps it closer to fully invested. Also, there are diversification benefits that improve avg return.

qtip - a fund of funds distributes assets to other hedge funds... I guess you need to be a pretty good marketer to get enough assets to do that, but there is still a lot involved in the technical side. Specifically, selecting funds..

What are the legal forms of marketing for a hedge fund?

Surf, I have no rich personal contacts or friends. If I did, I'm not sure I would feel comfortable managing much of their money... I mean, 5% or so would be ok, but not much more. Not that I am not confident - just cautious. As for earning a living, I'm not very concerned with that...