We have small shop in Lithuania. 2,1 mln. Two guys run all the show. It took almost 2 yearrs to create basic infrastructure. We still stuck with tradestation, what would you reccomend after tradstation? We are creating our own platform. In the nearest future we plan to raise up to 10 mln and then move registration from Lithuania. Agree, its all about raising money. Rturns 2010-18; 2011-8,8 this year 7. We dont dream of 30-40 yet:-)
Regards

Nice site there – yours looks like a life of sadness and penury.

1) I’m suggesting that an individual name might participate in multiple ‘pairs’ and that instead of simply assuming that pairs offset each other one might do something more sophisticated in terms of limiting risk across the entire portfolio. i.e., think of how futures are cross-margined or, taking a hint from raf above, how ‘optimal’ portfolios are meant to be constructed

2) I can think of a variety of exits – when a position has gained ‘enough’ lost ‘too much’ or when other pairs have become more tantalizing. My point was that this was a big (and I suspect intentional) omission from the original strategy description.

Best,

The funny bit is that the grand daddy of all of this HFT/ Maths in finance was Dr Edward O. Thorpe. He was very gunshy before giving up his university position! Still its funny how even today with all the computers and hardware out there that PeterLBrandt is still able to make a living!