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by Marine
November 4th, 2014, 12:22 pm
Forum: Trading Forum
Topic: Reversion trading
Replies: 4
Views: 4342

Reversion trading

Google "Variance Ratio"
by Marine
March 27th, 2012, 9:13 am
Forum: Trading Forum
Topic: how to allocate
Replies: 7
Views: 14893

how to allocate

I would never allocate capital with only using the SR. You must remember that the SR lags.Google Kelly Formula, btw Ed Thorp wrote a nice article on it
by Marine
March 5th, 2012, 9:27 pm
Forum: Trading Forum
Topic: Brokers with low commission costs
Replies: 6
Views: 23252

Brokers with low commission costs

Interactive Brokers is good.
by Marine
February 23rd, 2012, 12:24 am
Forum: Trading Forum
Topic: transaction cost and slippage assumption in back testing
Replies: 5
Views: 17210

transaction cost and slippage assumption in back testing

<t>Transaction Costs:If you are trading then you should know exactly what your transaction costs are. If not then use IB as an example. They are available on their website. Don't forget the stock lending fees.Slippage ... Market ImpactFrom my experience 20 bps is a good estimate. When you trade you ...
by Marine
January 16th, 2012, 12:50 pm
Forum: Trading Forum
Topic: DIrectional Long/SHort straegy
Replies: 8
Views: 16584

DIrectional Long/SHort straegy

Quote I normally see about a 8 second round trip for data from the exchange - through process - order sent - confirmation of order receiptBTW - That is a lifetime in our world ...
by Marine
December 15th, 2011, 9:43 am
Forum: Careers Forum
Topic: Redundancy or unfair dismissal?
Replies: 18
Views: 18045

Redundancy or unfair dismissal?

<t>I do NOT think you should sue from what you have explained. Even if you win you have to pay your lawyer and you will be limited on how much you will receive.If they are giving you an enhanced redunancy package then they should be paying for you to see a lawyer for advice on the contract. If they ...
by Marine
December 13th, 2011, 9:51 am
Forum: General Forum
Topic: Correlation and pairs trading
Replies: 7
Views: 20178

Correlation and pairs trading

<t>As everyone has already mentioned, correlation does not imply mean reversion! Also a pair does not need to be cointegrated for mean reversion to exist.Cointegration can exist intraday, just because you haven't found it to be true does not mean it does not exist.And finally just because you think ...
by Marine
November 30th, 2011, 10:02 am
Forum: Trading Forum
Topic: cointegration based pair trading
Replies: 28
Views: 24255

cointegration based pair trading

<t>QuoteMarine you've got me intrigued ... 3 legs as in something like triangular arbitrage ? Or more of a Johansen type approach ? ie cointegrated vectors with more than 2 dimensions ? I was referring to Johansen and think humtumiit should spend some time reading about it.I have used triangular arb...
by Marine
November 30th, 2011, 9:53 am
Forum: Trading Forum
Topic: cointegration based pair trading
Replies: 28
Views: 24255

cointegration based pair trading

<t>Quote2. I am using linear model. lm is function in R for lienar model. I will test with other methods as well. I was applying adf test only for lag=0, you mean to say If it gives stationarity under adf test with lag=0,1,2,3 at least then we should go ahead and invest money?Just because you think ...
by Marine
November 29th, 2011, 9:37 am
Forum: Trading Forum
Topic: cointegration based pair trading
Replies: 28
Views: 24255

cointegration based pair trading

<t>Quote2. Stock1 = A*stock2 + spread, I have regressed stock1 against stock2 and used ADF.test on spread. Which is basically the residual based test for co-integration.3. Correlation implies stationary or mean reversion. what should I do to turn co integration to a profitable trading strategy? 5. L...
by Marine
November 28th, 2011, 11:55 am
Forum: Trading Forum
Topic: cointegration based pair trading
Replies: 28
Views: 24255

cointegration based pair trading

<t>A few things to keep in mind when doing your research:1. Where did you get the code for ADF? Is it correct?2. You mention ADF (which is a unit root test) in your post but you have not mentioned what co-integration test you are using.3. Just because your calculation tells you a process is co-integ...
by Marine
June 22nd, 2011, 10:38 am
Forum: Trading Forum
Topic: Good regime for trend-following and mean-reverting strategies?
Replies: 11
Views: 24395

Good regime for trend-following and mean-reverting strategies?

<t>Lets say we have 4 regimes:LowVol, Down Market: Just punt LowVol, Up Market: MOM performs wellHighVol, Down Market: MR performs wellHighVol, Up Market: MOM & MR performs okayThis is just an observation I made from my trading strategies over the last few years. I have chatted with several peop...
by Marine
June 3rd, 2011, 8:11 am
Forum: Trading Forum
Topic: Calculating Sharpe Ratio - Not trading everyday
Replies: 17
Views: 24368

Calculating Sharpe Ratio - Not trading everyday

<t>Do you ever carry positions over night?I would calculate the SR both ways as defined below and when chatting about it you explain how you calculated it.So many people calculate SR differently and unless you see (or understand) how they calculate it the number they tell you is in theory useless. <...
by Marine
June 3rd, 2011, 7:59 am
Forum: Trading Forum
Topic: low latency brokerage
Replies: 1
Views: 19039

low latency brokerage

FIX and low latency should not really be used in the same sentence.
by Marine
February 28th, 2011, 8:36 pm
Forum: Trading Forum
Topic: Trading equities with small volume
Replies: 2
Views: 21549

Trading equities with small volume

Check to see when the majority of the shares are executed over the last 30 days in Bloomberg.Maybe 1k shares will be your limit. You will need to work these orders throughout the day.$.02
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