Relatedly, buying 52-week highs works, on average: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1104491 Pretty well accepted pattern...
Typically, the Sharpe ratio is annualized. If using daily returns, i.e., the mean daily return divided by the standard deviation of daily 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...
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...
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...
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...
They are all common stocks, U.S. equities, positively correlated. Relatively liquid. This is an everyday occurrence, so not able to comment on...
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...
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...
What a great post! Read this one over and over. Skill, effort, and optimism can take you far in many fields. Let me add what many successful...
Standard deviation is often expressed as a percentage. Sharpe ratio is not a percentage.
Over the past two weeks, there is one simple thing that has been bugging skeptical macro observers: namely the paradox of i) just how ugly the...
"Naked came I out of my mother's womb, and naked shall I return thither: the Lord gave, and the Lord hath taken away; blessed be the name of the...
Any idea how sensitive the results are to using opening (9:30am) prices vs. same day closing prices? I ask because one wouldn't be able to use...
Chandler's paper loss is well over $100,000,000, and his position was established after the Muddy Waters report. It is difficult to understand.
I've been a satisfied Interactive Brokers customer for a few years, but recently opened an account at Lightspeed to compare. Here are the issues...
http://dshort.com/ Neat, unique charts
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