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First, I don't believe in luck. Success is pretty much always built
from skill and hard work. But, you can't neglect the fact of
volatility. You have to look at your edge, but also volatility and
skew (and kurtosis) of your p&l distribution. If over a certain
number of trades your volatility is still bigger than your edge, you
can't only call it skill.
You can apply Kelly fraction or least squares method etc. to figure
out how smooth and consistent your p&l actually is.
Second, the guy sitting 5 meters to my right takes 2.5 mln US$
minimum investment, if he still would be open.
Third, if your utility function in trading is different from log
return, certain results might not look very sexy to you. Instead of
maximizing log return you want to maximize your personal utility
function.
But cut that: what is his risk management philosophy all about, eg.
how did he manage several large moves, like the day Niederhoffer went
broke after selling S&P puts?
Rgds,
Soeren
--- In realtraders@xxxx, "Research Dept." <research@xxxx> wrote:
> Hello Soeren,
>
> when someone shows me something better than this then i will
take a
> seat in the audience and shut up. until an independently
audited
> track record for that length of time can be verified i will
stay
> vigilant that - yes many people do things different ways but some
do
> things a better way..
>
> the trader i referred to makes big money for his clients and
himself,
> yes a few know and many do not. of those that do not most
are
> unwilling to learn anything beyond their capabilities and logic.
>
> ps i removed the name of the co. because i am not
advertising
> anything. beside they only take million dollar mins "if" they
were
> open and their not to new funds.
>
>
>
> SS> Hi pal,
>
> SS> I think money is the end, not the means or reasoning.
>
> SS> To look at it from other perspectives:
>
> SS> (1) Statistically speaking, there should be a guy who made
round about the
> SS> same money by always being gamma long. (I don't know him yet.)
>
> SS> (2) The distribution of making a money (eg. in trading) is
pretty skewed. If
> SS> you start with say 1 million US$, your bank or broker won't
(rarely) let you
> SS> lose the combined riches of this guy. So you see many guys
losing, some guys
> SS> winning, and few guys winning massively (being positive
outliers in your
> SS> distribution). I think it is called survivorship bias.
> SS> Nevertheless I think it's always a combination of skill and
luck/randomness.
>
> SS> What about the Sharpe ratio or Kelly fraction of the track
record?
>
> SS> Thanks,
> SS> Soeren
>
> --
> Best regards,
> Research mailto:research@x...
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