If you have an automated futures intraday trading strategy I'd like to hear from you

"5.You can design algos that are marginally profitable (the only reason they are profitable is because commissions are super cheap, some examples: ES 1.08 per lot per Roundtrip, Eurodollars 0.78 per RT, CL 1.80 per RT) Feel free to design something that overtrades like crazy as long as it makes money."


CME member fees for the Eurodollar are $0.09 clearing and $0.10 Globex for total of $0.19 a side. Backing out $0.38 RT from $0.78 RT gives commissions of $0.40 RT.

$0.40 RT commission is not "super cheap" for a trader doing volume. For example, at Advantage Futures a trader doing 1,500 RTs a day gets an average $0.22 RT commission over a month. Higher volumes get even lower commissions.
 
jeb9999 said:
$0.40 RT commission is not "super cheap" for a trader doing volume. For example, at Advantage Futures a trader doing 1,500 RTs a day gets an average $0.22 RT commission over a month. Higher volumes get even lower commissions.
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I'm not arguing that it's the lowest in the business, however I pay 78 cents a RT whether I do 1 RT or 100 RT's a day. I'm not forced to trade high volume just to get that cheap. So I can trade any product I want at very low commissions regardless of volume.
 
volpunter said:
Why should I pass on the core code to you? And another big red warning flag to anyone who develops trading strategies and is approached by people like OP : If your suggestion to release the strategy as black-box or the idea of hiring you and then develop code in-house is vehemently rejected then run as fast as you can, "code steal" warning alarms should be screaming!
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At least OP is clear that he wants the source code as part of the deal. Releasing proprietary code in any form does not guarantee that it will not be reverse engineered. It is only a matter of proper tools, time and money. Of course there are tools to make it more difficult but not impossible.
 
QuantWizard said:
I generate about 80% IRR anually through algorithmic trading, PM me to get more info.
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an 80% annualized performance with daily compounding is going to result in serious wealth building over a 3 to 5 year period. Why would you even think of giving that away to somebody? (I am assuming here you have a high sharpe ratio)

my present portfolio of algos in aggregate produce a double digit annualized performance with a sharpe greater than 4. In the past I would be inclined to shop it around to firms/hedge funds to try and make a quick buck up front. But these days I am more interested in keeping my edges to myself and slowly growing my own accounts resulting in greater wealth over the long haul.
 
I tell you how it is nearly impossible. I was offered a deal in the past (which was accepted) whereas the logic would remain on my own server and signals were submitted automatically to the firm's OMS. Caveat, that would not work with latency sensitive strategies. It is a myth that fills alone can be used to reverse-engineer a strategy. The firm had access to my past live fills prior to signing a deal and yet it built a profile and was happy with what they saw and signed a contract. That was one of the rare circumstances I felt there was a genuine interest on both ends to create a win-win relationship. That firm still exists and is doing well. But a rare find indeed.

vicirek said:
At least OP is clear that he wants the source code as part of the deal. Releasing proprietary code in any form does not guarantee that it will not be reverse engineered. It is only a matter of proper tools, time and money. Of course there are tools to make it more difficult but not impossible.
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because that post is bogus and so is your claim. A 4 sharpe ratio profile based on daily returns does not produce double but triple digit returns. If you do not generate trades each day then you would not get to 4 SRs because you need to include the non-trading days (at least if you professionally and honestly want to market your product to professional investors), and even if you generate several trades a day and only generate low absolute returns that should compounded still result in a triple digit annualized return. You cannot fool basic math and stats. The only reasonable explanation for 4SR strategies but double digit annualized returns would be if you defined your return as net return and paid through the roof in commissions or other trading related expenses.

R1234 said:
an 80% annualized performance with daily compounding is going to result in serious wealth building over a 3 to 5 year period. Why would you even think of giving that away to somebody? (I am assuming here you have a high sharpe ratio)

my present portfolio of algos in aggregate produce a double digit annualized performance with a sharpe greater than 4. In the past I would be inclined to shop it around to firms/hedge funds to try and make a quick buck up front. But these days I am more interested in keeping my edges to myself and slowly growing my own accounts resulting in greater wealth over the long haul.
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Ok go argue somewhere else.

I want to get back on track here. A few people have asked me if I'm willing to accept half finished code or ideas and if i'm open to collaborate to finish something together. The answer is that yes I'd be willing to work with you to finish an algorithm since I don't mind and actually enjoy programming new ideas. So shoot me anything you think you might be on to something and we can work together to program it out.
 
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