samedi 30 juillet 2016

Need advice on how to proceed

I am a Physics PhD graduate (United States based) currently employed as a data scientist. During my time in graduate school, I published more than 90-95% of other graduates. My thesis focused on theoretical modeling and computational simulation, so the development and simulation/backtesting of electronic trading strategies came naturally to me. Based on my backtested strategies (using in-sample/out-of-sample methodology), I then went ahead and built a fully automated trading system- the opening/closing of positions is based on quantitative signals related to the behavior of equities/ETFs (NASDAQ, NYSE, AMEX) and other quantitative conditions. The live trading software (which uses a retail broker’s API) has been tested rigorously using real cash and is ‘ready to go’. I have been doing this work for the past 1.5 years (more than 2500 hours of work total), and amongst many other considerations, have conducted extensive research on the types of drags that need to be accounted for (and are) in my backtesting work (e.g. brokerage costs, dividend fees on short positions, drag from opening larger positions that also includes bid/ask spread (which scales as ~bid-ask spread + .5 * (daily vol %) * sqrt(position size / daily total traded)). Also, I have layers of redundancy to deal with the risks associated with placing trades electronically (basically, I assume there are very bad people on the other side who might try any trick possible to take my money, and I have the necessary countermeasures in place to prevent them from doing this using stoppers and the randomization of order placement).
I could go into more details, but in short, I know that I am sitting on a gold mine, and I want to trade my strategies using any manner of funding available without getting screwed over or getting my hard work stolen/taken from me in the process (though I am open to the possibility of someone taking ownership of my work if the compensation is sufficient). Trading my own money is out of the question because I don’t have enough, though I could demonstrate returns with >150K USD at a depth of 20 positions and 5$ per trade brokerage costs. I am aware of the various types of financial firms (prop shops, hedge funds, …..), and the possibility of raising money myself, but I am not sure what the best path is. I have heard of funds/banks ripping off the hard work of people and then kicking them to the curb, and I want to try my best to avoid this. Also, the answer to http://ift.tt/2alCiKX makes the challenge of raising capital on my own sound quite daunting. My suspicion is that a prop shop is the way to go, but I am not sure how this would go considering I have my own software written, though I should say that I could place the trades myself based on open/close signals generated from the software.
I do not want to be another story of ‘brilliant mind, but didn’t have the right connections to get things going for him’. With a system that is ready to go, what path do you recommend? Please feel free to message me to discuss in more detail.

Thanks in advance.


Need advice on how to proceed

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