Obtaining Trading Capital

Mathemagician · Jan 10, 2005

Quote from funky:

i'm talking less than 2% drawdown for a 60%+ return....

That's quite an improvement from your first post, where you had a 4% drawdown.

M

Random.Capital · Jan 10, 2005

Quote from funky:

The system has a 62.5% return with a 4% drawdown, consistent for the last 4 years (its all the data i have). Trades average 2-5 days. Trades U.S. equities.

Sounds like a homebrew faux-MM system. Be very very careful, such systems coming online right now are grossly overfit and will get slaughtered now that volatility has run out of room for signficant declines.

funky · Jan 10, 2005

Quote from Random.Capital:

Sounds like a homebrew faux-MM system. Be very very careful, such systems coming online right now are grossly overfit and will get slaughtered now that volatility has run out of room for signficant declines.

nope, guess again

funky · Jan 10, 2005

Quote from opmtrader:

Funky,

I think you need to check out your outputs, especially your equity curve. Specifically why does the 6 month test have 1321 data points in that last image? You need to be compiling these things on a daily timeframe basis. This can alter your drawdown figure. That is the real fault of Tradestation type systems. They don't handle the nuances of multi market systems very well.

do you mean why does the last image show 1321, while the others had more trades? because the last image was a slightly different system, that gave fewer trades

Random.Capital · Jan 10, 2005

There are only two things intraday blackboxes can do: fade ST breakouts, or take them. Both are dependent on the "right" macro volatilty regime, which we've had, but is now coming to an end. There are chat boards loaded with guys trying to trade blackboxes just like the one you describe, it's neither a secret nor particularly original.

You are curvefit.

Good luck.

syswizard · Jan 10, 2005

looks very promising.....but what about the other stats ?
Sharpe & Sortino ratio important as is VAMI.
These stats are shown in most of the hedge fund databases.

lescor · Jan 10, 2005

Quote from Random.Capital:

There are only two things intraday blackboxes can do: fade ST breakouts, or take them.

Wrong, way wrong. Are you familiar with arbitrage?

bondgirl · Jan 10, 2005

HI -check out this website:
www.blackboxllc.com

Random.Capital · Jan 10, 2005

Quote from lescor:

Are you familiar with arbitrage?

Of course, and under the scenario in question it is nothing more than the trading of a breakout against a fade. There are no derivatives involved in what the OP is describing, this is as vanilla as it gets.

lescor · Jan 10, 2005

I was just responding to a blanket statement that sounded wrong, not commenting on the system being described in this thread. You said all black box systems either go with breakouts or fade them and that they depend on volatility. If I buy stock on one market and sell it on another for a 1 cent profit, is there a breakout somewhere?

Sorry if I mis-interpreted what you were saying.