That is very probably because there isn't anything of quality. Most complex algos crash and burn. Hedge fund returns have proves disappointing and alpha largely a myth.

It seems that the most successful trading profits come from a non statistical and sometimes illegal edge.

Leverage may eventually kill you. Therefore you are left with unleveraged beta. The market, more or less.

You can certainly improve on market cap weighted stock indices but if like most neophytes you are seeking impossible returns you are going to end up severely disappointed.

Markets are complex adaptive systems and may be inherently unpredictable. Even if they were predictable at present we don't know all the variables and even if we did we don't have the computing power to model them.

If you satisfy yourself with at most mid teen returns and accept the inevitable drawdown and volatility you will survive.

If you are convinced you are a Market Wizard you are in fact a Wizard of Oz and will crash and burn.

@Anthony I find this is a very depressing view. I'm at the other end of my career as DanC. I have been a software developer for years and my only venture in the markets has been what I have just recently learned would be characterized here as a long only strategy. I ventured beyond the index funds with a strong focus on Buffet/Graham fundamental analysis, but always long and for the long term.

Recently I've been looking at a more active strategy and have been digging through the resources here, learning python and reading a few books on trading. I've had a similar experience as Dan C, and really haven't found quality resources that offer a real promise to "beat the market". A simple Google search brings up a lot of suspect claims, but those resource I have taken the trouble to delve into come up way short. There is a lot of solid information and clear advice on money management and protecting your profits, but when it comes to getting those profits, I'm faltering.

I've been enjoying the lecture series here at Quantopian from Delaney et.al. I'm learning about statistical analysis and had fun playing with Python and the many powerful tools it brings to the table. However, a comment by Delaney that the best we can hope for is a %1 percent predictive advantage over the random walk set me back. I think this observation is slightly (1%) more hopeful than Anthony. If that is what we are working with, the potential for rewards is pretty low unless you're shaving the hairs off of a very large surface and have a rock solid money management strategy.

Is it possible for a small player to move beyond "unleveraged beta"? If so please point me to references to back up your claim.

IASG

David Druz

Look at real time track records. David Druz is my favourite. 17% CAGR 42% max DD

You may find it "depressing" but being "depressed" is a lot less "depressing" than losing your trading capital. Which is what most bright sparks do. Take a look at David Druz and other players listed on IASG.

What people really need to do is to look at track records of established managers to see what has been achieved and then recognise that they are probably unlikely to improve on the best out there and will most likely be lucky if they match the average.

So you are suggesting to take a look at Tatical Investment Management on IASG? If I read the charts right, he has had many years of 50% returns and a few with negative. I noticed he reports 90% systematic, 10% discretionary trading strategy. Very interesting, thanks for the reference.

Depressing ... as in depressing my enthusiasm ... which is a good thing. Although much better now, pre-investment, then after I blow through my capital.

-- A

Hello Andrew
Yes, David Druz is a trend follower which is my own preferred method also. I have spoken to him several times. He is a chum of Ed Seykota who is also a trned follower - I had lunch with Ed about a decade ago in London and again agree with his views. Or most of them!

Tactical / David is not immune to blowups and if you look at his disclosure document he had to return capital to investors some way back when his programme exceeded its pre agreed drawdown level. He then reduced leverage and carried on.

10% discretionary - all trading has discretion. Here are some examples: choosing the portfolio and changing it from time to time. Updating a system in view of changing market conditions.

Even if we had sentient AI, "it" would have to use the same discretion!

Dan,
I align with you in that I'm good with python, but don't know much about trading. You're going to be overwhelmed at first, but that's the exciting part. If this was an easy endeavor, this community wouldn't exist. I would definitely start things off with the Lecture notebooks (https://www.quantopian.com/lectures). Anytime you come across a term you aren't familiar with, google it. Just take in as much information as possible... binge watch youtube videos with people sharing their market knowledge and hypothesis. Also know that people rarely share their biggest discoveries. I also tend to believe if you 100% align yourself with everything that you read (the free material that people aren't cashing in on right now), then you might not find your niche in this game. Keep an open mind, despite how 'depressing' some people might say it is. That's awesome that you're doing this at 19.