A path towards profitability

[sle]

Quote from garachen:
Overall, with a hefty inclusion of manual trading it's around 7-9.

Hmm. Out of curiosity, two more questions:
(a) what's your Calmar or MAR ratio?
(b) what sort of capital are you running?

Quote from garachen:
Anything over 3-4 probably means you shouldn't take in outside money.

Under assumption, of course, that you fully understand whatever tail risks you are taking. My general experience has been that at a strategy level the higher your Sharpe is, that more unpleasant the draw-downs become.

 

[garachen]

Quote from sle:

Hmm. Out of curiosity, two more questions:
(a) what's your Calmar or MAR ratio?
(b) what sort of capital are you running?



Under assumption, of course, that you fully understand whatever tail risks you are taking. My general experience has been that at a strategy level the higher your Sharpe is, that more unpleasant the draw-downs become.

A). Also kind of inappropriate measures. About 13
B) since we don't take outside money this isn't something I'm comfortable discussing

A measure I like to use is [dollar value of yearly profit]/[dollar value of largest drawdown]
After expenses that number is about 8. 10 pre expenses.

We used to be quite exposed to things like a major terrorist attack on US soil. Like a nuclear bomb being detonated. Now not so much. A 300 point move in the s&p in a day would still be very bad but not a disaster.

@cdn. 6 years

 

[Rationalize]

Quote from sle:
...
Under assumption, of course, that you fully understand whatever tail risks you are taking. My general experience has been that at a strategy level the higher your Sharpe is, that more unpleasant the draw-downs become. [/B]

sle -- I think this becomes dependent on the level to which the strategy is supported by favourable microstructure as opposed to lumpy distributions. Apples and orages in my world.

garachen -- Going out on a limb here, but care to comment on any relationship between tick size, commission structure, and profitability?

 

[garachen]

Quote from Rationalize:

garachen -- Going out on a limb here, but care to comment on any relationship between tick size, commission structure, and profitability? [/B]

Each trade about 30% of a tick. So 60% round trip. Really rough number because it can vary from $4.20 to $50 or even more for bonds.

Exchange fee is whatever the cheapest the exchange offers without making special deals. Clearing is a few cents. Varies by product. About 7 cents on average. In an ideal world that would be cheaper but we use a decent amount of their resources.

 

[speero]

Garachen,

I appreciate your posts and your comments answering questions.

This may have been asked already, but I scanned the first several pages and saw nothing.

For a college graduate - what would you recommend one do in order to pursue a career at a 'trading company' as opposed to simply joining a prop firm? I'm an active equities trader that has been trading my own accounts and remote prop accounts for a few years with mixed success in each, and have heard mixed advice from partners in prop firms and traders within the same firms.

Seems to me many prop traders tell me I should find a career at a 'trading company' that pays salary before I begin trading at any prop firm.

Thanks and again, appreciate your advice.

 

[garachen]

Quote from speero:



For a college graduate - what would you recommend one do in order to pursue a career at a 'trading company' as opposed to simply joining a prop firm? I'm an active equities trader that has been trading my own accounts and remote prop accounts for a few years with mixed success in each, and have heard mixed advice from partners in prop firms and traders within the same firms.

I am sadly ignorant about the job market for equity trading. I've never even stepped into an equity trading firm and have only 1 friend who actively trades equities. So I wouldn't be much help there.

For futures though, the traditional route is:
1) live in Chicago
2) graduate near the top of your class in a technical field from a local school
3) do an internship where you want to work or get interviewed by November your senior year.

If you've missed that window (which it seems like you have) you have to target places you'd like to work and network like crazy. It helps if you have some internet visibility (started some useful open source project that is in use by trading companies, intelligent blogger, etc)

 

[gmst]

do you trade energy futures - CL, NQ or Brent ? if yes, I will post some questions on execution for you. Thanks

 

[garachen]

Quote from gmst:

do you trade energy futures - CL, NQ or Brent ? if yes, I will post some questions on execution for you. Thanks

Yes. I do.

After having started 2 threads on ET I think I'm getting tired of it. If anyone wants to discuss anything feel free to PM me but I think I'm done responding on these threads.

 

[Occam]

Quote from garachen:

Yes. I do.

After having started 2 threads on ET I think I'm getting tired of it. If anyone wants to discuss anything feel free to PM me but I think I'm done responding on these threads.

Thanks for sharing your experience and knowledge. It does indeed appear that you've the "real deal" and have a lot figured out, and you've added a lot to the site in the short time you've been here.

 

[perspicacious]

This is ridiculous.

Someone who actually knows what he's doing turns up on ET hoping to post some thoughts on his methods.

Instead of allowing him to post, so that we all may learn, the 95%'ers chase him off with their inane irrelevant questions.

In his first post the OP stated "But I would be curious if anyone were to follow my method to fruition."

He never even made it to his second post for answering a barrage of drivel.

Muppets.