OK, thanks.
My two actual Questions/Points are simply put:
1) In your estimation the maximum value of a 100% mechanical trading system, regardless of implementation, expressed any way you like with two key components:
A) Monetary dimension: a number of any kind you like expressing increase in value, capital, ROI, ROR or any other metric you care to use. If using a non-standard metric please explain the formula for calculation. This value would be something you believe impossible to realistically exceed and if demonstrated live would cause you to ask "how in the heck is that possible?"
B) Chronological Dimension: Per hours, day, week, month, year, decade or anything you like.
2) Do you mean that almost all strategies which as you say are "variations on several well known themes" are that because are ni others that could be called exceptionally profitable or because those that are exceptionally profitable are never revealed publically?
I believe they exist but of course there would be no logical reason to ever reveal them. In general what gets revealed is where the profit to be made from the revelation as in managing money, selling software, books, and lectures is significant in relation the actual rate of return. For example if I think I can make X return per year trading my strategy but my editor or business associates feel it could generate 3x return if marketed correctly I will reveal it all over the place, endlessly. (assuming my goal is to make money)
In contrast these outstandingly superior systems that are never revealed, lets call them "Dark Systems", like dark matter they are invisible to the naked eye/public, would not likely be found among the big boys. Since implementation in a large company requires a multitude of folks: strategists, analysts, programmers, testers and network admin folks, keeping it secret would be almost impossible.
Even if you are well paid and have signed a ton of confidentiality agreements, programmers love to play god and flaunt the rules for the fun of it. Add the potential to make a great deal of money where nobody can prove you took the means to do so and you have a sure fire flaw in the development of an exceptional system in a large organization. Any such system in that environment is not going to remain proprietary or unhacked, human nature being what it is.
My two actual Questions/Points are simply put:
1) In your estimation the maximum value of a 100% mechanical trading system, regardless of implementation, expressed any way you like with two key components:
A) Monetary dimension: a number of any kind you like expressing increase in value, capital, ROI, ROR or any other metric you care to use. If using a non-standard metric please explain the formula for calculation. This value would be something you believe impossible to realistically exceed and if demonstrated live would cause you to ask "how in the heck is that possible?"
B) Chronological Dimension: Per hours, day, week, month, year, decade or anything you like.
2) Do you mean that almost all strategies which as you say are "variations on several well known themes" are that because are ni others that could be called exceptionally profitable or because those that are exceptionally profitable are never revealed publically?
I believe they exist but of course there would be no logical reason to ever reveal them. In general what gets revealed is where the profit to be made from the revelation as in managing money, selling software, books, and lectures is significant in relation the actual rate of return. For example if I think I can make X return per year trading my strategy but my editor or business associates feel it could generate 3x return if marketed correctly I will reveal it all over the place, endlessly. (assuming my goal is to make money)
In contrast these outstandingly superior systems that are never revealed, lets call them "Dark Systems", like dark matter they are invisible to the naked eye/public, would not likely be found among the big boys. Since implementation in a large company requires a multitude of folks: strategists, analysts, programmers, testers and network admin folks, keeping it secret would be almost impossible.
Even if you are well paid and have signed a ton of confidentiality agreements, programmers love to play god and flaunt the rules for the fun of it. Add the potential to make a great deal of money where nobody can prove you took the means to do so and you have a sure fire flaw in the development of an exceptional system in a large organization. Any such system in that environment is not going to remain proprietary or unhacked, human nature being what it is.
. I am fully aware of the risk and thus I always control the trading activity based on the market volatility, and only trade large stocks. On the other hand, I also try to maintain market neutral. even if I get 100 signals, if they are all long, I will not take all of them to maintain neutral. that could be another reason I achieved low drawdown.