It's all about the money... After Refco there was very little left. I had spent three years supporting myself, a lot of capital on R&D and on the business itself to turn the model into something that would handle the kind of funding it takes to make it worth while. I also found myself without a way to generate livable income after the collapse. I don't live in one of the financial hubs so running out and landing a Series 3 job wasn't a possibility.
Just starting the trading over wasn't an option and to be honest the emotional impact of it took some time to get over as well. Decisions I had made about the broker cost people their hard earned money. I don't take my clients capital lightly.
Once I did get back to work, the demands of those jobs made it difficult to trade and monitor the market, it would also have been impossible to have taken on clients as this adds an entire layer of operational requirements and difficulties. I did spend quite a lot of time trying to leverage the success I had as CTA to get refunded with a hedge fund, but my professional track-record was just too short and I didn't have enough AUM.
It goes without saying I learned a lot through that experience, things that I think would make me a better 'manager' of a CTA - a lot of hindsight if you will. Now I just need to get the pieces back in place. It's patchwork right now; I work on things when I can, work when I can and keep grinding forward. This past summer I fired up the grid of computers (8 dual processor workstations) and began a large scale regression. Spent several weeks on it, running and rerunning the data-mining process. I have to admit that the first time around my testing may not have been as thorough as it should. You think you are being statistically significant when you run hundreds of simulations when in reality it takes thousands to really determine if what you are looking at has any real potential.
When I was done with it, I had ran 5k simulations over 1mil datapoints... things looked okay but I'm not convinced the testing methodology is right. I can see issue problems with they way the monte-carlo is setup. I think it 'biases' the outcome to a positive expectation.
The issue now is, I've got to work two jobs to survive and time for testing is limited but I'm getting closer to being able to actually pull the trigger. I have 23 years to retirement, pretty sure I'll be able to give it another go in that window!