So I created this software...

[dazzwater]

Ian R, if you had read the Ernest Chan book recommended earlier, chapter 4 answers your concerns about lack of capital, as well as about fix connectivity and other administrative issues. Being associated with a reputable firm should also set you on your path towards obtaining a credible track record, and eventual acquisition by a larger fund if you still want to sell your strategy (I won't if I were you). Good luck!

 

[Ian R.]

Ian R, if you had read the Ernest Chan book recommended earlier, chapter 4 answers your concerns about lack of capital, as well as about fix connectivity and other administrative issues. Being associated with a reputable firm should also set you on your path towards obtaining a credible track record, and eventual acquisition by a larger fund if you still want to sell your strategy (I won't if I were you). Good luck!

Thanks for your kind guidance.

Most of the assumptions in modern finance are based on the fact the markets have to be "efficient".

In reality there is a deviation from this model and irrationality is one key ingredient that can be leveraged by models outside of black-scholes and other complex formulas derived from physics and statistics.

This is where I want to have my niche. Where no one dares to go i.e 1-3 day trading, in between hyperfast trading and the longs.

 

[Ian R.]

I added variance and risk calculations too. My latest run gives me:

Alpha for 60.83 % of 100 pathways each of 100 days.
Average capital gain is 10.13 % and average dividend yield is 9.46 %
Best pathway is 250.16% and worst is 37.21%
Standard deviation of the pathways is 46.40% and risk is 2.39

 

[helpteye]

whoa; That is an error. I did not write that statement. I think there is an error. ATTN: Andy. Another member made that statement. I have never worked in any hedge fund, I believe I commented on that statement.

That is impossible of course... 15-20% per month is feasible for small volumes where the net profit is 1-5% after fees, but it will level off dramatically afterwards.

On large volumes about 5% would be the maximum ever possible...

Backtesting for long durations shows me 1-1/e convergence to Alpha monte carlo pathways.

Here is an illustration of the exponential function:

 

[euroazn]

Guys, it's been two years; do you think he made it?