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seed capital to stat arb / high frequency trading. (Read 26701 times)
zip10065nyc
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seed capital to stat arb / high frequency trading.
01/27/09 at 16:00:09
 
can anyone provide seed capital to stat arb and high frequency trading?  i will let my performance numbers talk if you have seed capital.....expected annual return is about mid-teen or higher with annual vol of 5%-6% and max annual drawdown of about 3%-4%....thank you very much!
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sams
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Re: seed capital to stat arb / high frequency trading.
Reply #1 - 03/10/09 at 05:03:29
 
lets talk if FX algo trading, FIX API. USD 5-10 mio trading line available. I need some basic info to start with
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zip10065nyc
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Re: seed capital to stat arb / high frequency trading.
Reply #2 - 03/10/09 at 13:34:12
 
sorry - it is not FX; it is on US equity and market direction neutral option trading.....still interested?
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gauravr
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Re: seed capital to stat arb / high frequency trading.
Reply #3 - 04/08/09 at 06:23:41
 
Hi...
We at irage capital are beginning Automated Trading in India. We are looking for seed funding. Average Annual returns of 15-16% are very feasible. Looking to increase our trading capital.

Do contact at graizada@iragecapital.com

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Re: seed capital to stat arb / high frequency trading.
Reply #4 - 04/08/09 at 12:56:51
 
Are your strategies fully automated? What is the Sharpe ratio and how do you calculate it?
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zip10065nyc
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Re: seed capital to stat arb / high frequency trading.
Reply #5 - 04/08/09 at 13:33:39
 
to: Nihil desperandum

yes - the strategy is fully automated while manual intervention is available......the sharpe ratio is simply calculated at the ratio of annual return to annual risk (zero risk free rate)...conservatively at 2 to 3 or higher.
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Re: seed capital to stat arb / high frequency trading.
Reply #6 - 04/08/09 at 13:38:35
 
Is it index arb, pairs, composite pairs or something fancier? If it is simple arb, I would expect the Sharpe ratio to be somewhat higher, althouth 2 to 3 would be brilliant for a "punting" strategy.
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zip10065nyc
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Re: seed capital to stat arb / high frequency trading.
Reply #7 - 04/08/09 at 14:22:01
 
to: Nihil desperandum

it is a psure stat arb......max draw down is about 3%-4%.   you make $50m in pnl with sharp ratio of 1.8 vs you make $500K with sharp ratio of 4.   it is about scalability....
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Re: seed capital to stat arb / high frequency trading.
Reply #8 - 04/09/09 at 13:52:38
 
I always thought that
a) sharpe ration without any confidence interval is absolutely useless
b) if lower than 3 - then we just cannot establish a fact that the strategy has positive return at all at, say 97% confidence level. Just look at the formula for confidence interval for average return - it is +- 2.97 stdev.
c) max drawdown is equally useless measure - it is just 1 random number from the past. If we had a distribution of drawdowns - then it would be more useful.

Or am I wrong and/or statistical significance is irrelevant to investments?
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zip10065nyc
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Re: seed capital to stat arb / high frequency trading.
Reply #9 - 04/09/09 at 14:28:13
 
to: Yury R

sorry - you are WRONG......does sharp ratio have a probability distribution?  say it another way, can you apply probability interval to your salary or to your weight or to your height?  

you like this forum - that is good.  i am looking for seed capital here, not to educate people.  :-)

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Re: seed capital to stat arb / high frequency trading.
Reply #10 - 04/09/09 at 15:13:00
 
I am sorry that this concept is inconvenient for you. And sorry for offending your religious feelings Smiley

But how do you differentiate between sharpe ratio based on 10 trades or on 100 trades. Certainly, the later is more certain, isn't it?
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Re: seed capital to stat arb / high frequency trading.
Reply #11 - 05/28/09 at 16:36:15
 
I am the principal of a 20 yr old floor trading firm that has held/still holds memberships on the NY and Chicago Exchanges. We have spent the last 6 months learning about latency and architecture and now feel that we have at least a good enough understanding to launch our ALGO division. We have sure up our software and hardware partners and have extremely strong relationships with the Exchanges because of our history with them, thus we have just finalized a deal to co-locate our servers directly in the Exchange rack. We strongly believe in a team spirit. We have learned that to compete in this brave new world of ALGO, a team must have programmers, quants, developers,IT, math genius and of course traders----WE CHOOSE TO FOCUS ON THE TRADERS. We believe that sub-milli speed can be bought if truly needed, and the best programmers can be found and hired, but traders are born, and then nurtured to have an intrinsic gift that even the most talented MIT grad will never be able to code. If you are a trader, better yet a former floor trader, please lets talk. This is your new home and we will capitalize and incubate you to truly perform with a support staff and the latest technology. We trade only commodities, and although we are looking for traders, all others who think they have services to help our firm, please submit your thoughts or request for employment. Many Thanks.
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zip10065nyc
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Re: seed capital to stat arb / high frequency trading.
Reply #12 - 05/28/09 at 16:57:32
 
there are two types of camps i would like to avoid on wall street: 1) people who have no clue about stat arb but create all kinds of polictics to make business hard to expand; 2) people are smart so they would like to know what and how you do (that is, disclose all your model and code).  these two camps of people make wall street INEFFICIENT that is why we can arbitrage!?!?  :-)  team work is good if you do not have a working model; team work will not be good if you do have a working model.  agree?
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Re: seed capital to stat arb / high frequency trading.
Reply #13 - 05/28/09 at 17:20:36
 
im not really sure if u were responding to my posts, but if so i wish u well. team work is a concept i believe in and have for my entire career. BTW..anyone who may not be interested in an opportunity but may just want to pick my brain or ask my opinion on any matter,feel free,  im quite sure i have a bit more experience then most and am very willing to share any thoughts. best of luck to all..P.S. this is not a game for the individual, but i wish all well.
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zip10065nyc
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Re: seed capital to stat arb / high frequency trading.
Reply #14 - 05/28/09 at 17:49:10
 
think about all these large banks:  they work as a team; they bring you in for interview and collect thoughts or they will require you to disclose things and then bye bye.   but on the other hand, people who invest capital should know something about what you do.....so there is a balance.....

more:  certain people talking about mili seconds of trading at supersonic speeeeeeeeeed.  do people know how many trades can be done for each second, on average?
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