QuoteOriginally posted by: rexlexQuoteOriginally posted by: Traden4AlphaAlthough you can call it "execution risk" it seems much more serious than that because it includes the hypothesis that the observed profit pattern is either inaccessible, is an artifact of the system generation process, or is a transient phenomenon. You mention that a given strategy will have a limited capacity -- that the arbitrageur's own trades compete with the arbitrageur. But what is that capacity? How does one know that a profit-making system isn't limited to only $10,000/year?The trading volume is the best approximator so that you know what amount of money would affect the arbitrage. A better approximator is (Intraperiod_Range)/Volume which provides an upper bound on the elasticity. Note that one needs to compute these quantities on the time-frame of execution.QuoteOriginally posted by: rexlexYes, it changes too - but note that even if you lose the money because the oppurtunity vanishes - it will be a tiny part..again your incomes so far would compensate it by a light year...again: probability .Actually, a lot of money can easily be eaten up by a bad strategy. The Kelly criterion assumes that one knows the pay-off structure of the system and that events are IID. Neither assumption is valid in real life. Kelly will over-position if the probability of a win is lower than expected or the conditional payoffs are worse than expected. What happens when you get N losing trades in a row, where N is large? Real execution risks also play a role here in which stop-loss order gets executed at bad prices, the market goes limit-down, or a broker snafu means that a sell-order fails to execute.

QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: rexlexQuoteOriginally posted by: Traden4AlphaAlthough you can call it "execution risk" it seems much more serious than that because it includes the hypothesis that the observed profit pattern is either inaccessible, is an artifact of the system generation process, or is a transient phenomenon. You mention that a given strategy will have a limited capacity -- that the arbitrageur's own trades compete with the arbitrageur. But what is that capacity? How does one know that a profit-making system isn't limited to only $10,000/year?The trading volume is the best approximator so that you know what amount of money would affect the arbitrage. A better approximator is (Intraperiod_Range)/Volume which provides an upper bound on the elasticity. Note that one needs to compute these quantities on the time-frame of execution.QuoteOriginally posted by: rexlexYes, it changes too - but note that even if you lose the money because the oppurtunity vanishes - it will be a tiny part..again your incomes so far would compensate it by a light year...again: probability .Actually, a lot of money can easily be eaten up by a bad strategy. The Kelly criterion assumes that one knows the pay-off structure of the system and that events are IID. Neither assumption is valid in real life. Kelly will over-position if the probability of a win is lower than expected or the conditional payoffs are worse than expected. What happens when you get N losing trades in a row, where N is large? Real execution risks also play a role here in which stop-loss order gets executed at bad prices, the market goes limit-down, or a broker snafu means that a sell-order fails to execute.I wrote a long topic here about the Kelly criterion...just take a look on the forum search engine to find my related topic about the KC. There I address the issues you are referring to...Speaking of the Kelly criterion though, this reminds me to other elementary but very interesting ideas - such as Parrondo paradox and Will rogers phenomenon - perhaps I should post a topic about the Will rogers phenomenon, since it has never been discussed directly in the context of probability theory...not to mention economics? But again, the Will rogers phen. also isn't a gold formula...

QuoteOriginally posted by: Yossarian221) Approach a member of the faculty in the Department of Operations Research and Financial Engineering and be honest!! Show them your complete strategy. Show them it works at different entry points etc. Be comprehensive in your analysis, leave no stone unturned. You might be surpirsed at what happens. I guarantee you will learn something. You may even get the money you need.Never trust an academic's honesty. Never.

QuoteOriginally posted by: katastrofaQuoteOriginally posted by: Yossarian221) Approach a member of the faculty in the Department of Operations Research and Financial Engineering and be honest!! Show them your complete strategy. Show them it works at different entry points etc. Be comprehensive in your analysis, leave no stone unturned. You might be surpirsed at what happens. I guarantee you will learn something. You may even get the money you need.Never trust an academic's honesty. Never.lol cynics are the best...keep up the good work!

QuoteOriginally posted by: daveangelQuoteOriginally posted by: rexlexP.S.You get "C" for using the word "skewness".Now go learn the word "kurtosis" and come back later... I guess I was right now... - you have to be an idiot to succeed in these forums! HOPEFULLY I will be banned again, I have downloaded all the articles by Thorp and Ziemba...so I won't lose that much if they ban me again .I am sure nobody wants to have you banned. It would serve your cause better if1. you used few emoticons2. learn to take a few jabs on the chin without getting defensive3. stop thinking that just because you are at Princeton you are god's gift to these forums4. stop making irrelevant quotes just to show how widely read you are 5. stop thinking that everyone here is stupid6. keep in mind that there are a lot of highly experienced people here who can help by being critical - many peopl ehave made many mistakes and can share that wisdom with you.On the other hand, you can choose to continue you r current behaviour and you will find that you will be ignored. On the other hand, you might choose not to post here anymore. Nobody is under any pressure to contribute. a word to the wise is often better than a handjob in the bush.I am 100% with dave here, RL/SD.The problem with your pitch is not the strategy (since I have no idea what it is, I cannot judge whether it has merit), but rather your way of presenting it, and yourself. After all, what you're looking for here is advice on how to sell yourself to potential investors (if not those very investors themselves). So do try to listen to people... As for myself, as I have already mentioned to your alter ego, I would never want to give money to someone as petulant, childish and obstinate as yourself.

I'm also a full-time student, started with $1000, and built up my trading capital from there. If your strategy is that great you should have no problem getting up to $10K from $1000. As some people have already mentioned, if you need to you, you can use your credit cards to fund your trading. CMC Markets have a great platform and allow you to fund your account by credit card very easily. CFDs are great way to start building up your capital if you have a good strategy as your equity only needs to cover P&L movement and a small margin.Everyone is giving you a hard time because everyone knows how easy it is to have a strategy that looks great on paper. Your problem is that you need to get your strategy "audited" in some way. I found this website the other day:http://www.collective2.com/You should start running your strategy there and post a link to the forum here so people can actually watch the performance of your strategy over the next couple of weeks. You might get some interested parties once your strategy has been running for a while.