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No, it's not true. Your max loss to your premium ratio will depend on the moneyness. An ATMF spread will be roughly 2x, while far OTM spread could easily be 20x. You are being silly. If you wiggle out with a minimal loss, you are going to be closing a lot of positions too early and bleeding...

Don't conflate bandwidth and latency as they are two orthogonal concepts, i.e. how much can be transmitted per unit time and how much time it takes for a signal to travel. A lot of the time your low latency setup will have pretty low bandwidth, in some cases extremely so (e.g. shortwave setups...

Repeating again and again that the only thing that matters is that asset is "tradeable" is counterproductive at best. Not everyone here is a chartist day trader, plenty of people who trade long term positions based on macro views or look at events for some other reasons.

If you do not have a positive expectation, no amount of money management will help you. In fact, even with perfect risk management you are going to be bleeding transaction costs every time you trade. The general idea is to first find a statistically significant effect that has reasonable...

Well, possibly, whatever you are calculating after each 1-min bar you should not be calculating after every 1 min bar. Standard HFT machines are not that powerful and yet HFT strategies update every every T&Q tick.

In my experience, having to worry about compute times/capacity at runtime is fairly unusual (unless you are running an options market making business). In general, anything that requires meaningful processing power (fitting, calibration etc) should be run off-line relatively infrequently and...

Define "scalp"? If you are trying to find a very short-term mean-reversion strategy where your expected alpha is comparable to the bid/ask, then yes, you have to do your research on tick data. However, unless you are colocated and have made serious technology investments, you are most probably...

Unless you wanna play order book games or hold positions for periods comparable to the order book refresh cycles, you don’t need tick level data. Minutely or even 5-min TaQ bars would be plenty for most strategies. My advice would be to backtest everything assuming some reasonable delay but at...

I have seen and ran a fair number of strategies that have done better in real life than in the backtest (for various reasons, such as execution assumptions or market improvements).

I don’t want to put words in @newwurldmn mouth but pretty sure he’s just as unhappy about the asset support as about the enhanced unemployment. The amount of money spent on this, both in terms of QE or various handouts will haunt us for a long time. Out of these things, money spent on income...

Told ya :)

Not sure how you came up with this idea. The more parameters there are, the easier it is to overfit the strategy. There are even theoretical ways to prove it, if you assume that your noise process follows some set distribution. In any case, double digit Sharpe on a medium frequency strategy...

Given that it's a relatively low frequency strategy, I'd venture that you have some sort of forward information that you are subtly taking into account. It's unlikely to be comissions or bid/ask bounce given the frequency. If you are using any information besides the price itself, that might be it.

I would not zoom on it too much - there are other methods for reducing trading. I had a note on it from a while ago, will try to dig it up. For larger traders, costs are not proportional either, but probably quadratic once you start including the impact.

Sorry, working in the industry you get used to a specific jargon and expect other people to follow - my bad. The idea is simple enough. - Lets assume that you have a collection of buy/sell signal that are continuous in nature (z-scores or something similar) and that you can have an existing...

Makes sense. I have hysteresis built directly into the portfolio formation for cross-sectional strategies, but for single asset strategies I do it directly at the signal level. Hmm, I did not think about it but indeed - when I trade a single VIX contract it's epsilon for me while it could be a...

You do need a either some form of minimum signal threshold or a hysteresis of some sort. Most of the noise is random flickering near zero signal - if you going to trade an epsilon amount every time as your signal turns on and off, you gonna pay a lot of TCs. In fact, you can think of lower...

The latest episode popped up on my iTunes yesterday while I was walking the dog :) Here are some comments on using signal strength for position sizing (that's what I do for my strategies). It has good and bad sides to it - it is more suitable to reversion/normalization strategies since you...

Thanks! I assume you are scaling your target by the signal strength and attenuating your position size by the realized impact? That's what I'd do if I was running a small account and targeting smaller names, but there are many ways to skin that cat. I don't know how much GMV that is, but it...

Very exciting. - what do you think are the median market cap and ADV among your traded names? - what is your pnl/tradeval and do you think that correlates with ADV or market cap?