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I tried to address this concern at the start of my post. If you have some idea of how I manipulated the statistics I'd be happy to respond.

Having said that I can agree that my case is pretty unusual and that everyone should beware of attempting to do something like this. Even for myself I couldn't do it now. (There is a reason I turned my program off.)




Ie., if you made 500k in one period, but then lost 50k a year for the next 10 years, you've made a net profit of 0. All I know is that you had one good run, similar to how some mutual funds have a good run for a while.

How much did you spend before you "tuned" it? How much did you spend afterwards? What were the tax consequences of your trades? Did you make exactly 500k? Have you traded at all since then?

You mentioned that you occasionally "sat in" and took some large losing positions. Were these on purpose? Bugs? Was your exposure actually much higher than you thought? Was limiting contract size enough risk management?


In my final month I lost $600. I didn't include this on the chart to keep things simpler visually. Since then I have not traded and the reason is that it was abundantly clear that my program was no longer working. That's why I shut it off.

With regard to tuning I may have lost $1000 or so but as I wrote in the article I was able to build a backtesting model that accurately simulated live trading. So once I had that I could basically use it to verify I had sufficient edge to make a profit after covering my commissions.

My risk exposure was very low. When I said large losing positions this meant like $600. But the bottom line is I had a daily stop loss of $3000 enforced at my broker. The most I ever lost was around $2000.

Anyway, there is not really some hidden thing that I am not telling people. It does bug me a bit that your comment is at the top given that it says I'm manipulating statistics and was actually one of the guys that the quants gleefully picked off. I think it's unlikely I traded much with other HFT systems but if I did they certainly lost money.


If you do release the source, what's the best way to be notified of this? Your Twitter account looks pretty active? I'm particularly interested in your risk management strategies (this is where my previous efforts fell short).


Why couldn't you do it now?


Well I could try. But it's not going to be any easier now than it was in 2010. For four months I tried everything I could think of to keep it profitable but in the end nothing worked so I had to shut it off.


I have two theories why it stopped working. I think the market sped up. Latencies are always getting lower and your strategy that worked at 10 ms didn't work with players that are at 1 ms. Also, you might have been gamed because your strategy was easily predictable or you were putting too many trades through the same broker/exchange/etc.




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