It was upset to me. I haven't found any places allowing me to implement my skills and knowledge of quantitative trading, although I have kept doing quantitative research in these years. Thus I am thinking to start to use quantitative trading strategy to trade my own money seriously. At least, it's better than benefit nothing from my research. But the strategies I've built before are not suitable for me, as they were originally designed for Hedge Funds / CTAs. I need to build some strategies more aggressive to trade such small amount of capital. So I started to work on that.
As I was working on the strategies that are used to handle large size capital. I thought that such high profitable trading strategy might not exist. After sawing a video few month ago, a lady talked about how her team made 41 million USD profits within few years with only 300K USD start-up capital. I then thought that it could be possible.
After doing a research in recent weeks, I found that the market microstructures can be used by traders to make profits have existed in the markets for many many years. Without taking account of market liquidity, the simulation shows that it is possible to generate the remarkable performance with very low drawdown
But the disadvantage of this system is that it can only handle a small amount of capital to trade around 30 - 50 emini contracts per trade.
