[iaw]

I worked at a prop shop where my teams worst 2-day losses totaled more than $2MM. The worst period for any team on the firm was a $30MM loss with an additional $60MM of risk over the course of 5 days.

No one was happy about it, but it was part of the job and considered reasonable volatility for a portfolio of our (middle) size. While I wasn't a fan of Consz's tone, his numbers check out from my personal experience at a trading firm. Not HFT, but in the end it's all about return on capital and the P&L's should be similar.