Search results

Thank you. What max temperature is OK? I'm getting readings of ~98 degrees for package and from 80-100 on the cores.

I don't think it exists other than the two-stock combo at IB mentioned earlier. Yes, it is useful. I programmed it as part of a larger automated program.

There is a small limit to the number of legs, just two, I think, maybe three. Otherwise, this would work.

That being the case, I'm sure you'll find the Ph.D. a waste of time. Then again, as you're looking for a hedge, the Ph.D. can be your own hedge in case your trading doesn't produce as you expect.

"Business" is a broad discipline. What area of business, e.g., finance? I don't know too many first-year finance Ph.D. students, at least at reasonably reputable schools, that have the time to trade as much as you apparently do.

There are a few good ones here: https://www.advisorperspectives.com/dshort/updates/2018/06/25/margin-debt-and-the-market

Good point. I've been trained to cite the seminal paper. A follow-up paper that documents a similar pattern based on more recent data is: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2500335

Very nicely explained. In theory, the math for the numerator of the Sharpe ratio in the context of a market neutral strategy works out to: (Long - risk free) - (Short - risk free) = Long - Short, as risk free cancels out.

Relatedly, buying 52-week highs works, on average: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1104491 Pretty well accepted pattern among academic researchers.

Typically, the Sharpe ratio is annualized. If using daily returns, i.e., the mean daily return divided by the standard deviation of daily returns, you annualize by multiplying by the square root of 252, where 252 represents the number of daily trading days in a year. If using monthly returns...

IB automates regular locates. I tried Lightspeed for about a week until tiring of all the phone calls required for authorization to short. I'll try it again if this issue gets resolved.

Any sense for how your short availability / short fees compare to IB? For instance, I haven't been charged a locate fee from IB -- does this imply that they can generally find things without a fee, or that Lightspeed can locate more hard to borrows than IB, but only if the client pays a fee?

The system needs to be equitable. Why would the other 1000 share order be busted, but yours not? Either the other order went through a broker that had more experience with these issues and handled it expeditiously. Or the other trader had more influence, i.e., unlevel playing field.

Will we ever find out the outcome of this situation? Would be useful for future reference.

I would be happy to get VWAP. It's a new strategy -- I haven't spent much time optimizing this piece of it. But this is now a priority, and I was wondering if there were any simple rules to follow. Thanks.

They are all common stocks, U.S. equities, positively correlated. Relatively liquid. This is an everyday occurrence, so not able to comment on type of market (i.e., it varies). Not mirror hedges or inverses. Obviously I don't know where the market is headed before I make the trades.

Sorry, my reply was to the Lightspeed person's suggestion to use their basket trader. As far as tommcginnis's suggestion, I don't see how grouping stocks by characteristics speeds up the trades. Please enlighten me.

Thanks. Can one generalize at all? E.g., suppose I am exiting a randomly selected portfolio of relatively liquid stocks?

I am more interested in insight into the steps one would take to accomplish this without using a third party black box algorithm.

Can anyone direct me to a reference on how to optimally exit a basket of stocks? For example, suppose I have 100 long stocks to exit in the next 1-2 hours. My thinking is to submit limit orders 0.5% above the current ask, cancel unfilled orders after 15 minutes, wait 15 minutes, resubmit orders...