Recent content by flapjackery

Then your reply is probably the best guidance I've received in this thread. Thanks for the heads up. Time to start coding.

I'll take 0.35% as a benchmark then. What is the average sharpe ratio on these types of trades? The reason I was shooting for shorter holding periods was to decrease daily return variances (i.e. Law of large numbers). I think hourly holdings are reasonable too. In your experiences, have sharpe...

Is it reasonable to expect 2% returns per day with automated intraday mean reversion strategies with holding periods of a few seconds to a few minutes? I'm referring to intraday stat arb-type strategies that for example use cointegration (e.g. trading a basket of stocks against an ETF). I'm...