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Very nice thought experiment cT. I like this one. Thank you!

I am seeing some big special dividends, so I am not sure if the dividends are ignorable. So if I use dividend-adjusted historical open and close prices for backtesting, I should be able to avoid dividend-related pitfalls in pairs-trading, right?

Hi all, I am a newbie trying to backtest some very simple pairs trading strategy. My strategy is (non-HFT or intraday): Based on close prices, if stock A - stock B > entry threshold, I will go short A and long B and I will hold them for a few days until stock A - stock B < exit...

How about the margin? Suppose you short a large number of shares intraday in HFT, and then by the end of day you close your positions. What should be the margin rate here? What about Hong Kong? Anybody knows the margin rate for short in HK?

i heard that naked shorts are no longer allowed. so people need to locate the shares before they can short. how does this locating work for HFT? isnt it too slow?

Thanks Don. But I want to focus on stocks. Futures are traded more or less 24 hours, which is different.

my backtest is based on buying or selling at open... how do i make the backtest as realistic as possible?

my backtest is based on buy or sell at open, is that a valid assumption? how can i make it more realistic? do hk stock opens the same way as us stock? thx a lot!

thx

For example, for Citi, in backtest, is it better to include the reverse split or not?

Hi all I am a newbie... What adjustments must I do to stock historical data? What might be the pitfalls? Thanks!

lol... executing some trades for other people...

yeah, lets say one wants to rapidly get rid of risk, etc.

Sorry my wrong numbers. Lets make them larger: 70@100.05 80@100.04 30@100.03 50@100.02 90@100.01 60@100.00 I just wanted to figure out why?

short term, mid term, long term? Thanks a lot!

Futures execution question Lets say I want to buy 200 lots WTI crude oil on CME Globex. The offer side is: 30@100.05 50@100.04 20@100.03 10@100.02 50@100.01 30@100.00 And when I put a limit order to buy 200 lots at 100.05, the first a few offers are rapidly withdrawn and...

The stats are: For a portfolio/basket that's backtested and in paper-trading (all things combined together): [Average Annualized PNL] / [Standard Deviation of Daily PNL Annualized]=2 [Average Annualized PNL] / [Max Drawdown Each Year Historically] = 2.5 What could be a good margin...

Lets say you invest most of your funds into stock market. And in bad times, you would want to sell your stocks and put money into "safer" assets... what are the investable "safer" assets? For example, where do you buy risk free bonds? Any better ones?

Suppose you are given $10million to invest in futures and you are forming a futures portfolio. I've checked that the one with the highest margin rate is probably Wheat, it's about 1:9 The one with the lowest margin rate is probably Live Cattle, it's about 1:33. Therefore, on average...

Why?