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[newwurldmn]

Quote from nonlinear5:

I am not sure if the "dumb money" is is a good argument in favor of the hedge funds. The passive market index also has lots of "dumb money" (i.e., the money invested by the people who have very little or no experience in investing and trading), yet this passive dumb index outperforms the other dumb index (the HFRX index, that is) by a huge margin.

The scam was that they were supposed to be absolute return and with lower volatility so while the index outperformed you were higher on the risk/return curve. In 2008 that proved to be false.

Now hedgefunds lose money and complain that their strategy set are all losing money as well. So apparently momentum macro strategies are absolute return when they make money and when they lose money, everyone is losing money because the environment is bad.

 

[vkrouglov]

Quote from nonlinear5:

Hmm, the "risk of loss" has gone up as a result of two new winning trades?

This seems counterintuitive on one hand but on the other big profits may tend big losses. The smallest risk of loss has a strategy that does not trade at all which also seems counterintuitive, i.e. having zero profit is "better" than to have positive.

 

[Peternam]

Quote from nonlinear5:

According to Collective2, the top system made $565,000 in subscriber revenue:
http://www.collective2.com/become-trading-system-developer

It doesn't say over which period of time, but let's assume that it's over 3 years. With that assumption, this means about $188,000 per year.

So what kind of account size would you need to manage with CAPA to realize the same revenue? Let's assume that you can turn over 20% annual return. My calculations show that the account size would have to be around $6.27 million:

6,270,000 * (0.01 + 0.1 * 0.2) = $188,100

Correct?

Do you believe that number stated by Collective ?

 

[nonlinear5]

Quote from Peternam:

Do you believe that number stated by Collective ?

It does seem quite high. However, if you put the numbers together, it actually looks reasonable to me:

C2 has 65,000 members. Let's say that only 0.2% of them subscribe to the top-performing system, which charges a typical $100 per month subscription. Then as the system developer, you'd end up with:

150 subscribers * $100/mo * 12 months * 3 years = $540,000 (gross over 3 years)

 

[nonlinear5]

Quote from mickson:

we allocate 5 points to the RAPA score based on the way you describe your strategy on your Wall and also how you share some of your research ideas.

Hey Michael, I posted the description of my strategy to the Wall. Can I get my 5 extra points? I am looking to kick Kevin Saunders off his throne.

 

[vkrouglov]

Quote from nonlinear5:

Hey Michael, I posted the description of my strategy to the Wall. Can I get my 5 extra points? I am looking to kick Kevin Saunders off his throne.

Please, make it public. We would be happy to provide you some points.

 

[nonlinear5]

Quote from vkrouglov:

Please, make it public. We would be happy to provide you some points.

What does it mean, click the "share" button? Done.

 

[nonlinear5]

I noticed that Pei Fang Siow jumped up and down in the leaderboard in the course of just few minutes. Does it mean that you RAPA guys generate the IB Flex reports continuously intra-day?

 

[Pekelo]

Kind of offtopic, but...

Quote from nonlinear5:

C2 has 65,000 members.

C2 doesn't have 65K members, just like ET doesn't have 100K (or whatever the claim is). That is the number of people EVER signed up, including multiple sign ups, not the active membership.

I would say you can divide that by 10 (or more) to get the active membership. I signed into C2 maybe twice this year, I wouldn't even call that active...

 

[nonlinear5]

Here is another suggestion: in your RAPA score formula, incorporate whether the account history was verified or not. I'd make it full 50% weighting in your formula. These would have two desirable effects:

-- It would give the traders the incentive to give RAPA the ability to run the Flex queries against the actual account (which is what you RAPA guys want)
-- It would make the leader board much more believable. Right now, there is a trader in your leader board which has 0% max DD, 0 Sortino, and 16 Sharpe. That doesn't smell right, so I don't believe it.

If you make the suggested adjustment, the best possible score of an unverified account would not exceed 50, while the range of the scores for the verified accounts would be from 50 to 100.