I've been researching algorithmic (non discretionary) trading at the several-day to month timescale, i.e. not HFT. I am not interested in voodoo i.e. no technical analysis, I am looking for solid quant type techniques that can have a positive edge at smaller capacities that are interesting to an individual but that a larger fund would ignore.
Question: I always wonder, are people out there actually able to achieve profitable returns using a home algo trading setup? I realize you wouldn't give away your 'secret sauce' but I would be interested in some feedback as to w/not this can work.
If so what classes of strategy do you look at - stat arb? basic portfolio construction? something more exotic? Anyone care to share general experiences?