Not sure what I've built.......

[njrookie1]

Polarbear's number is not outrageous and he knows what he is doing.

He is forcing risk management on himself by limiting amount of equity in the account. It also protects him from broker misappropriating his funds. It is good risk management practice.

If you understand leverage, you will see polarbear's number is equivalent to

85% return, 6% DD, and 3.5 sharpe.

Not outrageous. The TRUE DD and RETURN should be calculated based on his trading account and his cash/deposit account.

njrookie

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Very odd. Polarbear in the journal forum, trader p/l ,is getting 850% pct return, 3.5 Sharpe, max DD of 60%. And I get crap for saying 30-40%? Yikes.
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[savagemp5]

Quote from dreturns:

OK found a report on Scottrade that shows the first test. Started Feb 2010 with 5K cash account. No losses.

return calc=(Value of investment at the end-Value of investment at beginning) + Dividends / Value of investment at beginning

(6904 - 5000)/5000 = 38% in 15 months. I did lie I thought it was 12 months. Missed lots of trades due to 3 day waiting period and busy work sched. 38% of what I got is still nothing.

Second test started June 2011 - Oct 2011 was with Prop firm. Not enough model activity for the effort. I was too timid to take on same day leverage. Didn't take series 56, so stopped.

Since Oct 2011, new release of code.....got excited came here, was told to F off.

Third test will be Jan with 10K.

U do realize that there's alot of ppl, who've replied you, are way above your level now. U shld be the one to stop telling ppl you've made 30-40% on backdated data.

Like I said, lets start with your own money, like a $100,000 (dont talk to me with $5,000 and it runs up to $10,000 and you've made 200%).

As of tmr opening on 24th Dec 2012, which is a half day, all the way till 24th Dec 2014 . Let's see how much you've made, based on forward testing, and not to gather data points for these 2 years and think of an algo to make 30-40%.

We'll see then.

 

[dreturns]

Quote from savagemp5:

U do realize that there's alot of ppl, who've replied you, are way above your level now. U shld be the one to stop telling ppl you've made 30-40% on backdated data.

Like I said, lets start with your own money, like a $100,000 (dont talk to me with $5,000 and it runs up to $10,000 and you've made 200%).

As of tmr opening on 24th Dec 2012, which is a half day, all the way till 24th Dec 2014 . Let's see how much you've made, based on forward testing, and not to gather data points for these 2 years and think of an algo to make 30-40%.

We'll see then.

Cool . Don't have 100K but will do best I can. Skiing w Fam till 2nd week Jan. Merry Christmas.

 

[IMFTrader]

I too started developing a simulation framework recently, in R and C++ and using historical data from WRDS plus live feeds from IB. It's taking a while due to work and school and family commitments. I don't have a basement full of servers yet; in fact I'm considering deploying my strategies on the cloud eg AWS when I'm ready to scale up. But once my systems are self-sustaining, my plan is to get an account at one of the prop firms out there, then build up a decent track record, then eventually pitch to one of the quant funds out there which are open to new strategies. It seems that a prop firm would be the logical next step for you too, given your circumstances.