Silicon Investor (SI) -- The First Internet Community

STOCKTALK

We've detected that you're using an ad content blocking browser plug-in or feature. Ads provide a critical source of revenue to the continued operation of Silicon Investor. We ask that you disable ad blocking while on Silicon Investor in the best interests of our community. If you are not using an ad blocker but are still receiving this message, make sure your browser's tracking protection is set to the 'standard' level.

Strategies & Market Trends : Gorilla and King Portfolio Candidates -- Ignore unavailable to you. Want to Upgrade?

To: Bridge Player who wrote (54563)	11/2/2003 5:26:15 PM
From: Mathemagician	Read Replies (1) \| Respond to of 54805

Lots of questions... Do you market these to the public? To make a long story short... Originally, I started writing systems for my own use. Then, they started to work pretty well so I decided to leave my job and start a Commodities Trading Advisor (CTA) called The SEMA4 Group, LLC based on these systems. While seeking seed/initial funding for the CTA, I continued to write new systems (I still do). Some of these systems were outstanding performers but exhibited a high correlation to systems I already had so I decided to start leasing them to the public, starting with the ultra-long-term SEMA4 Symmetry. It's the most "responsible" system to release because its high average trade makes it relatively forgiving of poor execution, trader errors, etc. Also, rather than being optimized it is dynamically adapts to changing market conditions, so it has no optimizeable parameters and is therefore not curve-fit. The identical program is applied to all markets without modification of any kind. The decision to lease systems was made only recently so my website sema4group.com is still under construction, but there is enough there that you should be able to get a good feel for the characteristics of the system. My situation puts me in a unique position as a system vendor. I have seen very few who are CTAs or even registered with the NFA (National Futures Association). All of my systems were developed with the intention of either using them for myself or in an environment where I am compensated exclusively for the performance of these systems. Continuing with this theme, I decided to lease rather than sell the systems. Through leasing I am still "on the hook" for the performance of the systems because if they break down then my revenue will dry up. That means my goals are more closely aligned with my clients than the vast majority of system vendors who sell their systems outright, who are not "on the hook" for performance at all. Are you paid by an employer to do this? I founded the The SEMA4 Group, LLC and I am the trading principal. If so where does your employer fit in the financial world? The SEMA4 Group is an NFA member Commodities Trading Advisor (CTA), which is like a hedge fund that specializes in futures trading. The difference between a CTA and a true hedge fund is that investors buy shares in a hedge fund. With a CTA, our clients open an account in their own name and retain complete control over the account (so the CTA never takes possession of capital in any way). The client simply grants trading authority in the account to the CTA, who then places trades on behalf of the client. Do you use any of these systems yourself? Yes. I use them both for myself and for the CTA. I started trading an "exploratory" real-money account for an institutional investor using pieces of various systems on October 1 and I am pleased to report that the return for the month was approximately 7.1%. Have any of them proven successful over both bull and bear markets? My systems do not have a long or short bias and trade a wide variety of futures markets (grains, interest rates, indexes, oil complex, softs, meats, metals, etc.), so whether stocks are in a bull or bear is mostly irrelevant. As long as a few markets move each year then the systems should be profitable. My rigorous and thorough testing methodology bears this out. Do users of these systems get to see their "innards" or are they strictly "black-box"? The systems are strictly "black box" and trading signals are delivered via email. I have no plans to release the details of the systems because I want to be able to cap the number of traders using them and also to have the option of pulling them back inside the CTA to increase capacity. Of course, if I do pull them back inside the CTA then no new subscribers will be accepted, though existing subscribers will be allowed to continue their subscriptions for as long as they wish. Are these computerized systems only or described and based in words? These systems are exclusively computerized and are 100% automated. There is absolutely no room for discretion, or "trading the equity curve". Because of my background (mathematics), I am able to do extensive analysis of the equity curve to search for inefficiencies. For example, tests for serial dependence. If serial dependence was present, then it would make sense to skip certain trades and increase the size on others. Since there is no significant serial independence present, I know that it is not beneficial over the long run to skip trades. I hope that answers all of your questions. If not, feel free to take a look at sema4group.com, shoot me an email or PM, or simply follow up. <font face=wingdings>e</font>