Very interesting writeup DMB. I have also heard of noone who systematically earns money from algorithmic trading. And also have seen many failures, actually too many to count.
Yet, there's so much beauty and creativity in the process of developement of automated strategies, that I still feel like I'm at the beggining of the trip and have still a lot to learn before I can fusion all those important bits and produce my first profitable strategy, one that I would finally trust to trade with real money. Obviously, it's also a very time consuming process, and that I believe is the main obstacle on the road. While professional quants receive their salary, so they can concentrate on the important things most of the day, most of us are approaching this as a hobby (i.e. an hour or two a day, on the average). We do have big plans for the future, of course, but a quite distant future, I'm afraid.
I understand you're dissapointed with Z's performance, and I'm too, but I decided just today to give 'em some more months, based on new discoveries. That jcl won't reveal his performance is telling, I agree.
But as I already replied privately, I see bigger value in Zorro itself, as a development platform, than in Z's, because honestly, I think I could never fully trust black box with real money. Yes, if Z's were performing very good, I would probably trust them with some small amount (chicken :)), but so far there's no evidence it would've been a great move.
So, I'll continue running the demo for the indefinite time, but my primary interest will continue to be additional education and research, and for that I love Zorro.
