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How does it perform on stocks according to the characteristics you would know at trade entry? For example, you're not really gaining insight if you recognize a momentum strategy worked well on stocks that had momentum characteristics during the trade. But you might mean high beta or high volatility stocks. Without more detail I will say that some strategies ...


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RE: Sharpe Ratio , Net profit or max drawdown? Definitely not Net profit. It is primitive and suspected to luck or spurious results. To make a choice from the rest of two we need additional information about the risk management - position sizing. Assuming we do not have that info - i would choose Max drawdown, loosing all money is not an option.


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Sharpe ratio alone is not, IMHO, a great measure. It measures the slope of a line to the Riskfree rate in a mean-stdev plot. If leverage were free and unlimited, then Sharpes would count more. Many traders look at Sortino ratios (looking specifically at downside stdev), or Calmar ratios (excess return/max drawdown), as more reasonable measures of an ...


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To classify whether a price will go up or down, you have to have a variety of features. You have to calculate these features yourself and include them in the data set. An example data set would have columns for current ask price, bid price, bid-ask spread, volume, and any other features you might find important, like a long moving average, a short moving ...


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You should check CoralMD which does exactly what you need: It provides a fast market data book implementation that can aggregate quotes from multiple exchanges together, giving you a global view of the market. The market data book can also provide a per-exchange view. It provides a simple framework to build market data feeds for each exchange. And most ...



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