Yes I agree that the spread is not due to the low interest from institutions. I was thinking that in the absolute spread sense, the higher priced...
Got it that makes sense too. If you are assuming a 1 tick spread yes that's true. If you look for very illiquid instruments however, the spread...
I see, that makes sense -- but if your commission is per share (my case at IB), then its the other way around right?
Yes I think you are right on with this as well. I am in fact looking into this and so far it appears opportunities are few and far between, but I...
very nice descriptions, thanks for these -- are you trying to implement variations of these yourself?
Thanks for this, this is really good info / motivation. I have been studying the order book lately and it does seem like it will lead to a viable...
Basically you are saying "hey I got lucky for a while, and so can you (1 in 10 chance)!"
Good luck. I think you may be on to something as more than a handful of academic quant finance papers have pointed out the statistical...
found this published in 2010 http://mitsloan.mit.edu/neudc/papers/paper_383.pdf talks about how large institutions exploit inefficiencies...
There is a well known statistical fact: the poorer your statistics (e.g., small sample size, existence of correlations), the more likely you will...
April fools!!
I think it doesn't make sense to do what you did. As you pointed out yourself, a regression assumes a linear relationship like: PL = a0+...
Actually my experience is IB TWS does not hog the CPU. I run it every day during market hours and my computer is cool as a cucumber. However, what...
This is my biggest worry about swing trading. In swing trading, your trading frequency prevents you from really knowing if you have a...
I found the microsoft search indexer a huge nuisance that slows down my computer AND keeps the fan on high all the time. I never use this slow and...
So what advice would you give a trader who is just starting at a major bank, hedge fund, or top prop firm. They should just give up? Or stick to...
In other words, to further clarify, out of the 12, there were 10 with okay sample size (still small but may be okay). Out of the 10, 5 worked, 4...
Okay thanks. Just looking at the window you attached, it looks like out of the 12 visible signals in the window, may be 5 of them look somewhat...
What is the "CL" column? Thanks.
Yes, I can see in this case, it has a good chance of being significant -- i.e., if you optimized only once in sample, then run a much larger OOS...
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