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(Disclaimer: I am the author of the article.) Consider the case of finding a set of strategies governed by a particular set of parameters in a book. For instan

(Disclaimer: I am the author of the article.) Consider the case of finding a set of strategies governed by a particular set of parameters in a book. For instance, the Moving Average lookback period. You will see authors posting certain strategies, albeit without revealing the market/time series with which they're carrying them out on or which exact parameters they use. This is the critical information, but it is also relatively straightforward to trial/test, assuming you have the available data. Also - the same strategy, implemented identically, can be both successful AND a failure for two different traders with identical starting capital. Why? Because one may not have the stomach for a 50% drawdown in the equity curve, despite the fact that had they waited, a "big swing" would have been around the corner. It is as much about preferences/tolerances as it is about the actual rule set.

gknoy 13y ago
I found your commentary on starting capital and the necessary willingness to let the algorithm run without interference especially informative. Thank you for the article!
- shogunmike 13y ago
  It is much harder in practice than in theory to be disciplined enough to do this! I always remember this great quote (paraphrased): "A quantitative hedge fund only needs two members in order to be successful. A quant trader and a dog. The quant trader is there to feed the dog. The dog is there to make sure the quant trader doesn't touch anything."
hasker 13y ago
Obviously speed and implementation details matter significantly. Your firm may have a better backend or superior code that allows the strategy to work better. Much of finance is working with attorneys to shift the system in one's favor. Gaining access to markets that previously did not allow foreign algorithmic trading, earning fee rebates on trades not available to others, etc matter increasing more in a business approaching saturation.

gknoy 13y ago

I found your commentary on starting capital and the necessary willingness to let the algorithm run without interference especially informative. Thank you for the article!

shogunmike 13y ago
It is much harder in practice than in theory to be disciplined enough to do this! I always remember this great quote (paraphrased): "A quantitative hedge fund only needs two members in order to be successful. A quant trader and a dog. The quant trader is there to feed the dog. The dog is there to make sure the quant trader doesn't touch anything."

hasker 13y ago

Obviously speed and implementation details matter significantly. Your firm may have a better backend or superior code that allows the strategy to work better. Much of finance is working with attorneys to shift the system in one's favor. Gaining access to markets that previously did not allow foreign algorithmic trading, earning fee rebates on trades not available to others, etc matter increasing more in a business approaching saturation.