Determining what a trading system is worth

Quote from thunderbolttr:

It's an active trading system that I've been forward-testing for the last 31 months. The main advantages are the profit factor, sharpe ratio, and maximum drawdown. Overall it has averaged about 30% profit per month with an annualized sharpe ratio of 6.75 (or if looked at on a daily basis, over 1.5% profit per day with a sharpe ratio of 10.53) and a maximum drawdown of -7.1%. In bullish periods it averages closer to 10%-20% per month, and in bearish periods it averages closer to 20% to 40% per month.

The biggest disadvantage is that it has very limited scalability under certain market conditions (it could probably just handle $200,000 well in those market conditions), so it would probably only appeal to very small hedge funds, individual retail traders, or individual retail investors looking to complement longer-term holds with a strategy that performs exceptionally well in bear markets in particular.

Another disadvantage is that I haven't yet back-tested it before May 2008, though there has been a nice range of very different market conditions from mid-2008 until now. It has held up well with just one losing month so far (a break-even month that turned negative after commissions).

Any thoughts?
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This is definitely no scalable enough for institutional investors.

I would try to look for someone (friend, family) that can invest 50k-100k if you don't have them yourself. You would then quickly reach the 200k limit.

Good luck

Ninna
 
Quote from tradingjournals:

Our products:confused: Are you sure? If you get the money, I got the tools.
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I was speaking for my company.
We package (i.e. combine) trading strategies into what I call "products" that we then sell in the form of (hedge) funds.

Yes, I am sure. If the Sharpe is too low it would not be used as a stand-alone strategy but as long as it is consistent it can be useful when combined. :)

Ninna
 
Quote from psytrade:
... Is your system only going to provide you with a job, or does it have the properties of a real business...
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Apologies to the OP for this interruption, but please could psytrade expand on the above comment? Thanks.
 
have you guys thought about trading baskets of stocks instead of singles? a basket that is generated from AI, fundamental and technical analysis....you should try it, returns are less than 10% a week but steady with limited risk
 
Quote from osakacapital:

have you guys thought about trading baskets of stocks instead of singles? a basket that is generated from AI, fundamental and technical analysis....you should try it, returns are less than 10% a week but steady with limited risk
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Do you include any bear ETFs in the basket to hedge against market downturns? Or if not, wouldn't the basket trading not do too well in bearish periods?
 
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