A few days back I was browsing my tweets when I ran across this one from @news.yc:
“Oh, this might be interesting”, I though to myself. So I clicked the link and started reading..
“This post will detail what I did to make approx. 500k from high frequency trading from 2009 to 2010.” That’s the first line of the post.. looks promising, doesn’t it?
But sadly, there wasn’t anything interesting. Besides briefly mentioning what was traded, there are no details regarding what was done to make any claimed profits. That’s not really describing in detail what you did to make approx. 500k from HFT, is it? There’s a lot of talk about creating software for running back tests. Sure, that’s an important part of trying out various strategies. It’s also easy to screw up, and of course would never be 100% accurate as we simply can’t predict everything. So good for you, and I know the amount of work involved with this as I’ve done that myself.
Still, it’s hard for me or anyone else to say anything about the quality of this strategy, and it doesn’t surprise me that there’s been no response from the 6 HFT funds he email. Unless the email contains a lot of actual performance measurements and other related figures of interest. And if there actually is any value in the strategy, I’m not sure I would give it away for free in a blog post, even if I had no interest in pursuing further usage.
Problem is, what was promised wasn’t delivered. It would have been one thing if he did as proclaimed and actually talked about his indicators/strategy. At least then there would be something to potentially think about. If that’s not something he’s willing to do, then at least give us some form a performance measurement. Plotting just one side of the story isn’t enough, and I’m not willing to try and figure that out with the highly limited set of data available. At least include a related benchmark of some sort. Even better, do some form of alpha/beta estimation. That would be a nice start.