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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?

Much appreciated.

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  • $\begingroup$ The help me develop a strategy questions are off topic. Read the FAQ. $\endgroup$
    – chrisaycock
    Feb 1, 2012 at 16:34
  • $\begingroup$ This is not a discussion forum. Please only ask answerable questions which have some hope of a reasonably objective "correct" answer. $\endgroup$
    – Tal Fishman
    Feb 1, 2012 at 17:02
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    $\begingroup$ I wouldn't see it as a complete off topic. Comparing with institutional investors, amateur traders have another working framework: they have essential transaction costs, they are more risk-averse etc. i.e. there are some theoretical questions behind to be answered (for instance, how does mean-variance portfolio strategy looks like under transaction costs restriction) $\endgroup$
    – Max Li
    Feb 1, 2012 at 21:43
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    $\begingroup$ @MaxLi: This site isn't for amateurs. Though, I agree with your statement if you s/amateur/retail, which is what I think you intended. Your example would be a fine question, but it's much more specific than "can you share your experiences and what types of strategies should I consider?". $\endgroup$
    – Joshua Ulrich
    Feb 2, 2012 at 15:40
  • $\begingroup$ @JoshuaUlrich with "amateur traders" I meant "non-institutional traders", i.e. not necessarily unskilled traders, sorry for being not enough precise. I agree that the question was formulated unprofessionally, and if 4 people voted to close it down, then I'm ok with it. $\endgroup$
    – Max Li
    Feb 2, 2012 at 17:05

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I do recommend to you the chapter 8 of the Ernest Chan book "Quantitative Trading: How to Build Your Own Algorithmic Trading Business"

The chapter's name is "Conclusion: Can Independent Traders Succeed? "

The conclusion is that yes but I now cant remember very well the chapter...

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