Looking for a true prop firm

[cruisecontrol]

First of all I am Canadian so your firm must allow Canadians. I'm thinking Remote would be good, but I'm potentially open to other options.

I am looking for a true prop firm, not a broker in disguise. In other words I am looking for a profit sharing setup.

I am looking to trade firm capital "at cost", i.e. no commissions (just passthru fees) and 50/50 profit split.

I have a very good automated system for trading overnight baskets of US stocks. The system is based on walkforward machine learning techniques and is the result of 2 years of research I did (my background is in Math and CS.)

I have 10 years of backtested results for this system, and 87 days of live results at Interactive Brokers, using $125k capital and a basket size of 30 stocks.

Here are the live results for $125k/30 stocks. This is before comms but after exchange fees, SEC fees, etc.

The stats for that graph:
daily sharpe: 0.631 (10.02 annualized)
winning days: 73/87 (83.9%)
mean return: 0.10% (28% CAGR)
max DD: 0.69%

Backtested results are similar to live results. Backtested MaxDD for the 30 stock version was around 5% (including a 2% one-day drop on January 22, 2008).

Keep in mind that the Sharpe and MaxDD will greatly improve with a larger basket size, while mean return will decrease a bit.

With $1M/200 stocks I expect the Sharpe to be around 15, mean return 0.075% (21% CAGR), and max DD < 2%.
I am not too sure what the maximum capacity of this strategy is, but at least a few million.

I will also be building more strategies in the future.



Please PM me if you can help. My resume is available on request.

Thanks for your time.

 

[mfbreakout]

First of all I am Canadian so your firm must allow Canadians. I'm thinking Remote would be good, but I'm potentially open to other options.

I am looking for a true prop firm, not a broker in disguise. In other words I am looking for a profit sharing setup.

I am looking to trade firm capital "at cost", i.e. no commissions (just passthru fees) and 50/50 profit split.

I have a very good automated system for trading overnight baskets of US stocks. The system is based on walkforward machine learning techniques and is the result of 2 years of research I did (my background is in Math and CS.)

I have 10 years of backtested results for this system, and 87 days of live results at Interactive Brokers, using $125k capital and a basket size of 30 stocks.

Here are the live results for $125k/30 stocks. This is before comms but after exchange fees, SEC fees, etc.

The stats for that graph:
daily sharpe: 0.631 (10.02 annualized)
winning days: 73/87 (83.9%)
mean return: 0.10% (28% CAGR)
max DD: 0.69%

Backtested results are similar to live results. Backtested MaxDD for the 30 stock version was around 5% (including a 2% one-day drop on January 22, 2008).

Keep in mind that the Sharpe and MaxDD will greatly improve with a larger basket size, while mean return will decrease a bit.

With $1M/200 stocks I expect the Sharpe to be around 15, mean return 0.075% (21% CAGR), and max DD < 2%.
I am not too sure what the maximum capacity of this strategy is, but at least a few million.

I will also be building more strategies in the future.



Please PM me if you can help. My resume is available on request.

Thanks for your time.

1) reach out to http://www.firstny.com/index.php

2) www.smbcapital.com

3) Also reach out to Brett Steenbarger http://www.traderfeed.blogspot.com/

he knows some real good firms and can guide you in the right direction.

 

[Maverick74]

First of all I am Canadian so your firm must allow Canadians. I'm thinking Remote would be good, but I'm potentially open to other options.

I am looking for a true prop firm, not a broker in disguise. In other words I am looking for a profit sharing setup.

I am looking to trade firm capital "at cost", i.e. no commissions (just passthru fees) and 50/50 profit split.

I have a very good automated system for trading overnight baskets of US stocks. The system is based on walkforward machine learning techniques and is the result of 2 years of research I did (my background is in Math and CS.)

I have 10 years of backtested results for this system, and 87 days of live results at Interactive Brokers, using $125k capital and a basket size of 30 stocks.

Here are the live results for $125k/30 stocks. This is before comms but after exchange fees, SEC fees, etc.

The stats for that graph:
daily sharpe: 0.631 (10.02 annualized)
winning days: 73/87 (83.9%)
mean return: 0.10% (28% CAGR)
max DD: 0.69%

Backtested results are similar to live results. Backtested MaxDD for the 30 stock version was around 5% (including a 2% one-day drop on January 22, 2008).

Keep in mind that the Sharpe and MaxDD will greatly improve with a larger basket size, while mean return will decrease a bit.

With $1M/200 stocks I expect the Sharpe to be around 15, mean return 0.075% (21% CAGR), and max DD < 2%.
I am not too sure what the maximum capacity of this strategy is, but at least a few million.

I will also be building more strategies in the future.



Please PM me if you can help. My resume is available on request.

Thanks for your time.

I don't get it. If it's automated, just keep running it live with your money. Nobody is going to back an 87 day track record. And 99% of backers have no interest in directional strategies or committing capital to overnight stuff and the remote part I guess is the icing on the cake. Jesus Christ couldn't get remote backing today. I'm not trying to be a dick, just trying to keep the dialogue straight and to the point.

 

[chicagodon]

I'd even take it further and say most "true" prop firms laugh at backtest results. Unless you have proven it live, I highly doubt you will find a backer.

 

[Maverick74]

Cruise control, you have a back ground in math right? You can't annualize sharpe data. So that metric is meaningless. Also using sharpe for short duration strategies is also meaningless. Have you even created a liquidity coefficient?

 

[cruisecontrol]

Thanks for the replies everyone, keep 'em coming

1) reach out to http://www.firstny.com/index.php

2) www.smbcapital.com

3) Also reach out to Brett Steenbarger http://www.traderfeed.blogspot.com/

he knows some real good firms and can guide you in the right direction.

Thank you very much, I will look into all of those links you provided.

I don't get it. If it's automated, just keep running it live with your money. Nobody is going to back an 87 day track record. And 99% of backers have no interest in directional strategies or committing capital to overnight stuff and the remote part I guess is the icing on the cake. Jesus Christ couldn't get remote backing today. I'm not trying to be a dick, just trying to keep the dialogue straight and to the point.

No problem, I appreciate straightforwardness

I definitely will keep running it with my own money as long as I don't have a better alternative (and as long as it's profitable).

The reasons I am looking for a different setup, are (1) I am capital constrained and (2) Interactive Brokers' commission structure hampers my ability to trade lower priced stocks profitably with this system.

My system isn't directional, it's market neutral. I apologize that wasn't clear. I don't think it is possible to get such a high sharpe with a directional strategy. Well, unless you are Ren Tech maybe.

What length of track record would be appropriate when seeking backing?

I figured my proposal was a longshot, but hey, I'm not going to get anywhere if I don't put myself out there, right? I don't have any connections in the finance industry.

I'd even take it further and say most "true" prop firms laugh at backtest results. Unless you have proven it live, I highly doubt you will find a backer.

I agree, which is why I posted my live results
In principle I think it might be possible to come to some kind of agreement through full disclosure of the strategy instead of a live track record.

Cruise control, you have a back ground in math right? You can't annualize sharpe data. So that metric is meaningless. Also using sharpe for short duration strategies is also meaningless.

I am aware that an annualized daily sharpe is not the same thing as a true annual sharpe, but the annualized daily sharpe is a commonly used metric. It's far from meaningless. What are your preferred metrics?

Have you even created a liquidity coefficient?

Is that the trader equivalent of "Do you even lift, bro?" LOL.
I've never heard of it actually, I googled it but didn't see anything relevant to trading strategies or performance metrics.

 

[EliteTraderNYC]

How long of a track record do you need to get backed?

 

[dealmaker]

First of all I am Canadian so your firm must allow Canadians. I'm thinking Remote would be good, but I'm potentially open to other options.

I am looking for a true prop firm, not a broker in disguise. In other words I am looking for a profit sharing setup.

I am looking to trade firm capital "at cost", i.e. no commissions (just passthru fees) and 50/50 profit split.

I have a very good automated system for trading overnight baskets of US stocks. The system is based on walkforward machine learning techniques and is the result of 2 years of research I did (my background is in Math and CS.)

I have 10 years of backtested results for this system, and 87 days of live results at Interactive Brokers, using $125k capital and a basket size of 30 stocks.

Here are the live results for $125k/30 stocks. This is before comms but after exchange fees, SEC fees, etc.

The stats for that graph:
daily sharpe: 0.631 (10.02 annualized)
winning days: 73/87 (83.9%)
mean return: 0.10% (28% CAGR)
max DD: 0.69%

Backtested results are similar to live results. Backtested MaxDD for the 30 stock version was around 5% (including a 2% one-day drop on January 22, 2008).

Keep in mind that the Sharpe and MaxDD will greatly improve with a larger basket size, while mean return will decrease a bit.

With $1M/200 stocks I expect the Sharpe to be around 15, mean return 0.075% (21% CAGR), and max DD < 2%.
I am not too sure what the maximum capacity of this strategy is, but at least a few million.

I will also be building more strategies in the future.



Please PM me if you can help. My resume is available on request.

Thanks for your time.

I don't think true props ie ones that don't require capital contribution do remote...

 

[caementarius]

I suggest running the stats including your current commissions and then with some hypothetical commissions that would be realistic with a prop firm. Without commissions it seems hard to evaluate. I wouldnt discourage you, maybe it can work out great. There are prop firms where guys trade remote but i think it is rare to start out that way.

Have you looked at shops like Great Point Capital? Maybe you can run your strategy with money up somewhere like that and then move to a split arrangement.

Im not plugged in to help you but i dont think you should be discouraged by the naysayers out there.