Google "Variance Ratio"

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

Interactive Brokers is good.

<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 ...

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 ...

<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 ...

<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 ...

<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...

<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 ...

<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...

<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...

<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...

<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. <...

FIX and low latency should not really be used in the same sentence.

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