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visits member for 2 years, 4 months
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Jan
8
revised Is equity market making a game of speed?
added 116 characters in body
Jan
8
awarded  Promoter
Jan
8
revised How do different methods and techniques used in pairs trading compare?
added a wiki link to the johansen's cointegration test.
Jan
8
accepted How to account for jumps in intraday data when calculating beta?
Jan
8
accepted Can momentum strategies be quantitative in nature?
Jan
8
awarded  Scholar
Jan
8
accepted How to properly evaluate backtest returns?
Jan
8
accepted How to vet an intraday strategy
Jan
6
comment How to account for jumps in intraday data when calculating beta?
Fitting a model. And no I dont hold positions overnight,
Jan
6
asked How do different methods and techniques used in pairs trading compare?
Jan
5
asked Is equity market making a game of speed?
Jan
4
comment How to account for jumps in intraday data when calculating beta?
Did you mean smooth the price via moving average ? If not, not really sure how taking a moving average of returns would give more meaningful results. Can you explain
Jan
4
awarded  Supporter
Jan
4
asked How to account for jumps in intraday data when calculating beta?
Dec
11
comment Can momentum strategies be quantitative in nature?
Yes you can say that. So I guess my question is, why are momentum strategies technical rule-based instead of model-based ?
Dec
10
asked Can momentum strategies be quantitative in nature?
Dec
4
comment How to properly evaluate backtest returns?
This is what I mean...I tend to look at a strategy as a collection of trades with particular entry and exit points. If using multiple entry & exit points are used for each signal (adding positions or taking off positions for each signal) its is much easier to calculate returns per trade if looking at a dollar amount that was invested due to each signal.
Dec
4
asked How to properly evaluate backtest returns?
Nov
24
revised How to vet an intraday strategy
deleted 3 characters in body
Nov
24
awarded  Editor