Just curious, what would the typical interest in a equity market neutral system? I have a model, which I am planning to put up on this site mainly for my own track record, rather than for any subscriptions per se.
Here are some of the Pros & Cons and in the end I have a few questions , which I hope someone can answer ?
Pros:
(a) High Sharpe Ratio: > 2.5
(b) # of Profitable Trades: around 78% historically
© Trade is carried out only once per month & held for the rest of the month, dollar neutrality of the long and short stock exposures is rebalanced on the same date and allowed to fluctuate till the next trade date.
(d) All stocks are part of Russell 3000, and even within that universe, the penny/illiquid ones are avoid
Cons:
(a) Typically low returns per year ~ 15-20% on an average. (Of course one often levers it up)
(b) Too many stocks - typically a system will have around ~70-150 stocks long and 70-150 stocks short to be bought/sold on only one single day of the month
Questions:
(a) Since, my system requires to trade a huge number of stocks on one single day of the month, is it possible to load them via a text/csv file instead of entering trades on the site one-by-one ? Does one needs to use the API for that?
(b) Does the system allows, both buy and short sells on “margins”, so that I can increase the leverage ? Basically, this kind of strategy is often play on a 2-4 times leverage in the real world ?
I can’t answer your question about whether people in general would be interested in your system. (I can say, however, that I personally would be extremely interested).
But let me answer some of your site-specific technical questions.
If you are planning on executing dozens of trades per day, then I would encourage you to use the C2 API. It is certainly possible to manually enter dozens of trades into the Web-site trade interface – and some people do it here on C2, much as they do it at a real-life broker’s Web site – but you’ll be much happier with some kind of automated entry system. If you are not a programmer yourself, I’m pretty sure you could find someone on the site familiar with the C2 API, who would be willing to do some contracting for you and build a small application which reads text files (or Microsoft Excel worksheets) and dumps the contents into C2.
Finally, yes, you can use margin to go long and short on stocks, giving you effectively 2x leverage. C2 automatically uses margin as needed to complete trades.
Matthew
Mayukh,
I also cannot answer how many people will be attracted by your system. However, you might be interested in second “technical” opinion.
I heavily use C2 API for placing orders, so far in three months I have no complaints about it. It works very well in EOD terms. You might need somebody who’ll do it for you, but it looks very simple. Scripts that I use were priced in two six packs of beer lol, but I might be lucky because I have friends between programmers.
One issue, that I ran into, was cancellation of orders. Two months ago it took ~30-50 secs per order during intraday session.
Eu
