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2

You may be looking for synthetic longs/shorts which would be buying/selling an ATM call and selling/buying an ATM put. This will give you leverage while nearly replicating the underlying. I would caution that if you're only looking to hold for a couple hours, you will need to seriously consider the transaction costs.


3

The e-ratio is simply a tool to measure the quality of entries and it says nothing about the overall performance of a trading strategy. It answers the question "Is this a good entry technique?" and perhaps "What is the optimum average holding length?" It is a strategy development tool, not a strategy assessment tool.


3

I can think of a number of reasons not to use the "e-ratio": Potential investors will routinely ask about your Sharpe ratio, but I have never heard of one using the edge ratio. The statistical properties of the Sharpe ratio are well understood, whereas the edge ratio seems not to have been well studied. By Chebyshev's inequality, a high Sharpe ...


1

Choice of Contracts Having traded Nikkei 225 futures, you usually have three choices for futures contracts: JPY-denominated contracts (full or mini) traded on JPX (historically, the Osaka Exchange, hence the OSE above); JPY-denominated contracts (full or mini) traded on the SGX (historically SIMEX, the first Nikkei 225 index futures); or, USD- (full) or JPY-...


5

Having traded algorithmically for a couple of decades and taught on the subject, I'm going to recommend four books: one practical, two theoretical (but important), and one that is light -- a "beach read" that still touches on many important topics. The practical book is Barry Johnson's Algorithmic Trading & DMA. It is self-published and superb. ...


1

So this is called high frequency trading (basically trading very fast). There are two types of orders: Market orders and limit orders Limit orders are placed into what's called the orderbook. The orderbook is simply something that aggregates all limit orders at different price points into one place so that the data is readily accessible. When you execute a ...


2

You are a bit late to the game. High frequency trading has been around for a number of years already. It has reached the state where the computers doing the trading needs to be placed more or less in the same data centers as the stock exchanges -- the speed of light means that further aways means that you miss the profit to other computers. The connection ...


10

In January 2020, Matteo Aquilina, Eric Budish, and Peter O’Neill from Britain's Financial Conduct Authority published this study, illustrating how "low latency" market participants can make money off of others. I suggest you read it, because it's very clearly written for the general public, and explains how markets work. I will first oversimplify ...


8

You would definitely have some advantage. High Frequency Trading is all about speed and the fastest traders wins. Oftentimes, winner takes all. The blog Sniper in Mahwah & friends digs into the state of the art of inter-exchange communication. The current state of art for reliable broadband connections are microwave dishes between major trading hubs such ...


0

As the accepted answer states, it really depends on your definition of success. Most tends to focus on the high frequency / market making models, but I think if you pick your battles I don't think it's impossible to make some profits as an individual. IMHO while it would be highly unlikely for one person to build a truly robust algo trading system (automated ...


0

My opinion... it's possible to do it on your own. But you need to be very strict, doing your research without any deviation from the scientific approach. You'll need a source of historical data at tick level, and a solid backtesting system for your ideas. The amount of time required is huge. But regardless of the field, if you want to success... effort+time ...


0

You have to first come up with something really clever. Next step is to convince someone with tons of money to back your ideas because that is going to make them a lot of money. Without significant financial resources, the chance is slim.


5

This r/answers post can assist with your second question. The short answer is no. An individual will probably not succeed at making models with predictive powers. Even if you are a successful quant (extremely hard and rare), to be so you need expensive resources not available to individuals. Knowledge and learning are always super helpful in building ones ...


4

The soul-crushing self-doubt is half the fun! I would say the most important things to understand are pot odds, comparative advantage, adverse selection and market structure (microstructure and macro players). As an individual, it is my personal belief that it is necessary to find a niche in which you have a comparative advantage, where the major players ...


3

surrounding yourself with like minded people is a proven route to success. now doing research on your own is ok, but make sure you cross check your research and findings with others on forums, quantopian for instance has a community, tests datasets and competitions, things are always different when seen throughout another person's paradigm, and backtesting ...


5

Welcome to Quant-Stackexchange Sleepy Panda, this is an interesting question and it also seems to be an interesting book. Regarding your Question: It depends on your goal and your definition of success. If you intend to learn a lot about an interesting topic and deepen your understanding of financial market dynamics, study companions and individuals who work ...


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