[dennybritz]

I think you're comparing apples to oranges here. These funds manage billions of dollars of client money, which forces them into highly liquid markets with scalable strategies. That's quite different from how individuals or smaller prop funds can operate, trading off capacity for higher returns by trading in less liquid markets or with strategies that are "not worth it" for large hedge funds. If you must manage billions of client money then you are right in terms of competition, but as someone who only trades his own capital, you can see a lot higher returns.

[nv-vn]

>These funds manage billions of dollars of client money, which forces them into highly liquid markets with scalable strategies.

Obviously this is true, but I think you're missing the point. Trading with ML on price data is a strategy that literally anyone can reproduce and, as is evident by reading the comments in this thread, is something that many people have tried to replicate. In that context, everyone using that strategy is effectively acting as a large fund. Further, a large fund or prop shop can deploy small-scale strategies, I think the limiting factor really tends to be leverage. But if they are just trying to make 5% returns for example, they can deploy a lot of small strategies that make ~5% returns. And that's not mentioning the countless tiny shops operating under the radar trading <10-50 million AUM (really, I think the average fund is much smaller than what you would imagine). What I'm getting at is that there are a lot more market players than the "big guys" and they will either have an equivalent strategy to you or will be better equipped to take advantage of that same alpha because of more capital/better data sources/smarter stats. With that in mind, it seems insane to suggest that you can find significant alpha in such a low-hanging fruit.

Remember that you are trading during one of the longest bull markets in history. It's not hard to make good returns, but it is hard to analyze risk. There are a million and one ways to make 100% y/y, but a fraction of a percent of those will continue to work in the long-term. With a black-box model you cannot properly assess risk. Even with well-understood models, this is something that real industry players struggle with: backtrading alpha != simulation alpha != profitable alpha != long-term alpha.

[nv-vn]

Also considering you're the OP & are trying to argue in favor of this type of trading, it would be very informative to disclose what kinds of returns you actually made. It's hard to expect people to listen to your opinion in a game where everyone successful is motivated towards secrecy.

[g10r]

Agreed. Many smaller, yet successful Hedge Funds limit the capital they manage for this very reason. Some strategies just don't work at certain scale.

[nv-vn]

If the above is true, why would a fund not just allocate a small amount of resources to trade on OP's strategies. Either:

(1) OP's strategy performs worse than the alternative (2) They already do this, and have resources that allow them to outperform OP at their own strategy

If the returns are really meaningful, i.e. better Sharpe ratio than just holding $SPY or some dead simple strategy like that, then (2) must be true at least _somewhere_.