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Though there is no standard solution to your question, empirical studies have consistently shown that the market impact of a metaorder is a non-linear concave function of its size. The square root law of market impact is a quite simple and popular model for price impact estimation: $$ \Delta p = Y\sigma\sqrt{Q/V} $$ where: $\Delta p$ is the price impact, $Y$ ...


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I'm posting this as a proof that speed data-ing is possible in the world of databases. Step 1: Install database - 2 minutes Install Axibase TSD (my affiliation) as a Docker container. Alternatively, install it directly on a Linux host. docker run -d -p 8443:8443 -p 8085:8085 -p 8091:8091 --env profile=FINANCE --name atsd axibase/atsd && \ docker logs ...


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If you are asking these kinds of questions, it is very unlikely you will be able to successfully train any kind of ML or AI model on stock data with your current level of skill. In fact, each of the questions you ask usually involves weeks, months and -- in some cases -- years of experimentation to discover the right mix of potential features. In ...


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Take a look at compilations such as 151 Trading Strategies. I wouldn't expect this information to be widely disclosed. After all, a non-profitable strategy is a supermartingale which means there is an opposing set of algos that is profitable as we speak. Secondly, many strategies are conditional upon a market regime, and could become profitable should the ...


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Is there a typical "half-life" of a strategy? This is a really subjective question, and I don't think any singular answer will generalize well. That being said, I will give some examples from personal experience. I have made hundreds of trading models in my career. I have only deployed 9 into live trading in the last ~25 years. Of those 9, 2 of ...


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6 months is a reasonable estimate. Typically such strategies do not decay as in half-time but rather stop working in a discrete manner. Parameter tweaking can help, but for a limited period of time. To add to your list which is valid in itself: Infrastructure changes at the trading venue, in particular latency-related changes Market-making program changes ...


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