One estimate the maximum capacity of a quantitative trading strategy and analysis

(Last Updated On: November 1, 2018)



How can one estimate the maximum capacity of a quantitative trading strategy?

This is a Quora people really like on my Facebook page. Check out some of the highlights:

Assuming you’ve got a strategy that captures actual alpha, you’ve got to build in an estimate for execution costs (easily added) and ‘slippage’.


That estimate will typically be concerned with 2 things, overall stock trading volume, and your intended order execution size. As your intended size increases, so does your slippage. When you get to the point that you can no longer add any volume (because slippage is eating all of your intended profit) you can use that number to back into your total strategy capacity.


You will always hear me talk about volume in my analysis I have been doing!






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…be doing more of this type of analysis. I mostly focus on CFD and forex looking for patterns and relationships. I think i found some but it would be great if I could automate this whole process. I feel volume will be a big factor for executing orders if the instruments have low volume. As I have shown in this video, it seems Oanda does not update price moves if there are not another order.It seems to throw off the charts so I need to address in the Analytics service.

Analyzing markets today to forecast for tomorrow based on volume filtering

Live market analysis on Nov 1

Warning: As at the end of this video, I received a hater with a dislike and negative comment. This is sort of rampant on Youtube but I may move this type of LIVE analysis over to Facebook Live on my Facebook page of QuantLabsNet. Facebook only allows liking stuff so considering I provide this stuff for free, I am just figuring why tolerate the potential found ‘hate’ and ‘trolls found on  YouTube. Also, Facebook just reached in having more videos engagement vs Youtube anyhow. As a result, Facebook has a bigger and more positive audience as well.

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