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The order updates that come back are as cumulative fills (quantity done and average price over whole order) with the same OrderId as the original order, the same permid, but with different execid. Suppose you try and buy 10 lots, and you get fills of: 3 lots @ 100.0 6 lots @ 100.2 1 lot @...

Most equity neutral hedge funds don't trade "within a day". That would be silly. Fundamental data isn't updated that often. GAT

Not true. It forms the basis of every market neutral hedge fund except stat arb. GAT

The latter - all assets in the portfolio get the same sharpe ratio GAT

I don't agree. Actually I would equalise Sharpes on a per instrument basis, but not on a per asset class basis. I'd do the first inside asset class optimisation using estimated correlations and equalised sharpes (preferably boostrapped as well). I'd then calculate expected asset class SR...

A simple way of doing this with fixed weights is to use what I call handcrafted weights, which essentially is a top down process where you allocate a certain amount to each sector, and then carve up the allocation within a sector (my actual live trading weights look like this). You don't need to...

Depends on your trading strategy, holding period and price volatility. For example if your strategy was identifying trends you wouldn't use a profit target. If it was identifying ranges then your profit target would be at the top of a range. Longer holding period means wider stops. Higher vol...

Basic three factors plus quality? https://www.msci.com/resources/pdfs/Foundations_of_Factor_Investing.pdf

3. Yes you are wasting your time. The difference in SR of your results is not statistically different. Doing the boring thing will make you more money. GAT

A pretty dull month of more gradual losses quickly became quite exciting about a week and a half ago. I bet you can't see when Brexit happened (clue: the futures hedge for my equity portfolio opens an hour earlier than the equities do). After it did I made profits every single day, and...

Read my bio. I already managed other peoples money. I'm in no hurry to do it again. I have plenty of my own. My goal in writing the book was to try and help people trade properly, as there are so few decent trading books out there that address what I think are the most important issues. As for...

http://www.systematictrading.org/ GAT

Exactly. Performance is just pre-cost returns - costs, or if you like P - C. If you find a bunch of systems with the same level of P then you should pick the cheapest, lowest level of C to maximise your returns. This will be the slowest system. GAT PS I'm very glad that you've found my writing...

(2) is best, by far. You then need to cumulate up the returns to get the index, but that was implicit I guess. Depending on what you're using the index for you can cumulate in a compound sense I_t = I_t-1 * (1+r_t) or add em up I_t =I_t-1 + r_t Personally I'd use the latter. There is an...

Do the tortoise with higher leverage... GAT

You'd get quite different results. So for example there would have been a sharp downtrend in all USD assets on Friday, regardless of what actually happened to the "native" price. Given that most of the market looks at the native price, I think it usually makes more sense to do this. Also in...

Thats' what fundseeder will do, but the NLV will be marked to market on a daily basis not a monthly basis GAT

What do you mean by "account value"? Could you give an example? GAT

No it won't. Withdrawals and deposits don't affect your calculated returns in Fundseeder. You can also set the account so it ignores withdrawals and deposits when calculating equity value. You can set a fixed equity value in fundseeder. It won't be affected by p&l. That's what I use. GAT