Very nice thought experiment cT. I like this one. Thank you!
I am seeing some big special dividends, so I am not sure if the dividends are ignorable. So if I use dividend-adjusted historical open and...
Hi all, I am a newbie trying to backtest some very simple pairs trading strategy. My strategy is (non-HFT or intraday): Based on close...
How about the margin? Suppose you short a large number of shares intraday in HFT, and then by the end of day you close your positions....
i heard that naked shorts are no longer allowed. so people need to locate the shares before they can short. how does this locating work for HFT?...
Thanks Don. But I want to focus on stocks. Futures are traded more or less 24 hours, which is different.
my backtest is based on buying or selling at open... how do i make the backtest as realistic as possible?
my backtest is based on buy or sell at open, is that a valid assumption? how can i make it more realistic? do hk stock opens the same way as us...
thx
For example, for Citi, in backtest, is it better to include the reverse split or not?
Hi all I am a newbie... What adjustments must I do to stock historical data? What might be the pitfalls? Thanks!
lol... executing some trades for other people...
yeah, lets say one wants to rapidly get rid of risk, etc.
Sorry my wrong numbers. Lets make them larger: 70@100.05 80@100.04 30@100.03 50@100.02 90@100.01 60@100.00 I just wanted to figure out why?
short term, mid term, long term? Thanks a lot!
Futures execution question Lets say I want to buy 200 lots WTI crude oil on CME Globex. The offer side is: 30@100.05 50@100.04...
The stats are: For a portfolio/basket that's backtested and in paper-trading (all things combined together): [Average Annualized PNL] /...
Lets say you invest most of your funds into stock market. And in bad times, you would want to sell your stocks and put money into "safer"...
Suppose you are given $10million to invest in futures and you are forming a futures portfolio. I've checked that the one with the highest...
Why?
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