But I have nothing to sell
I have not gone live with this strategy yet. In the recent 2-3 months, I designed around 10 strategies, the strategy here is the worst. I plan to...
such strategy has nothing to brag about. Even if it is acceptable, it is in low end. Just want to know how low could go for acceptable performance...
Yes, all slippage and fees were taken into account. The stocks are liquid stocks. The entry price is limit.
I know. I just clarify.
So what would Wall Street think about this strategy?
I only have 1-2 parameters, with 200k trades. That is not curve fitting
I calculated sharpe based on daily return of the last 20 years, then annualized it, that gives me 2.5.
the losing year is very small. that is why 33% losing years still have 2.5 sharpe. This strategy lost in 5 bull years, but a small loss. as below:...
I have a strategy tested on the past 20 years. 15 years win and 5 years lose. The sharpe is 2.5. In term of months, 129 months win and 99 months...
I read somewhere medallion has a sharpe above 10
I remember few years ago I checked Barclay hedge fund database. I searched fund with sharpe above 2 or 3 with more than 3 years record. very few...
After hour has overnight risk, that could explain if there is indeed any profit.
I am in your shoes. What is the fair fee structure you would be accepted if you were a fund manager? In the 10 years I traded, my return totals...
the only problem is ts2, other are perfect to trade
Tradezero charged 4 times multiples of overnight short but they changed back to 1 as I checked recently. They do not have api
Wrong url
I guess I already have the answer. When trades on spy and qqq are combined, since they are correlated, they expand loss as well as gains, which...
spy500 stocks correlate to each other one way or the other. If I use somewhat hedge, strategy on spy will produce sharpe 2.2, no loss year during...
You can actually submit an order buying at Vwap using ib algo. What it does is to break down your order to fill it along with daily volume...
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