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Ex-investment banker, and now the program director «Economic policy» Carnegie Moscow Center Andrei Movchan explained, why does he not believe in the success of algorithmic trading. Truth, we are not talking about all, but only about scalable strategies, which allow to show profitability higher for many years 10% with low risks in the amount of more $1 million. ……
…..The only one, who tried to challenge Movchan's point of view, was a guru in the algorithmic trading community Alexander Gorchakov. He gave an example of a strategy, which at short S&P 500 for hedge and Sortino ratio 2 gives profitability 10%. But it has capacity $80 million. «So let's make money, where are these funds, who could make money on it? Why don't you do this?» – Movchan was surprised. To this Gorchakov replied, that the company, in which he works (IK «FORUM»), trades in the Russian jurisdiction and does not enter the external market.
In response, he again heard a provocative question.: «For $5 million you can't leave Russia? Let us do it for you. Give us a strategy, we will generously share». «No problem», – Gorchakov answered, but still did not approach Movchan after the performance. In doing so, he added: «If we take the Russian market. That, you are welcome, 53-47-19% – last three years». «Think, this descending line will continue further», – mocked Movchan.
«Undoubtedly, lower volatility leads to lower profits», – admitted Gorchakov. «As for the index S&P500 and addition, that you are a patriotic company. This is the same, that a relaxed person would recover, only the weather is not the same, but it will rain, and then we'll see», – summed up Movchan.
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