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

    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’.   …

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Stock market fair value on MorningStar’s fair value estimates for individual stocks it is way too high #start #market #estimate #Stocks #trading #investing

[igp-video src=”” poster=”https://quantlabs.net/blog/wp-content/uploads/2015/02/Stock-market-fair-value-on-MorningStars-fair-value-estimates-for-individual-stocks-it-is-way-too-hig.jpg” size=”large”] NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don’t worry as I don’t post stupid cat videos or what I eat!

More postings to simulate, estimate, forecast, and analyze the markets using these unknown forecasting quant secrets

Hi there Here is the second day of postings of GARCH and other market predictors using Matlab. These are only exclusive to my QuantLabs.net Premium Members so: –> JOIN NOW FOR IMMEDIATE ACCESS <– Even a new QuantLabs.net member said: “Good work on the GARCH stuff – amazing amount of stuff in MATLAB I’d never …

More postings to simulate, estimate, forecast, and analyze the markets using these unknown forecasting quant secrets Read More »

More postings to simulate, estimate, forecast, and analyze the markets using these unknown forecasting quant secrets

Hi there Here is the second day of postings of GARCH and other market predictors using Matlab. These are only exclusive to my QuantLabs.net Premium Members so: –> JOIN NOW FOR IMMEDIATE ACCESS <– Even a new QuantLabs.net member said: “Good work on the GARCH stuff – amazing amount of stuff in MATLAB I’d never …

More postings to simulate, estimate, forecast, and analyze the markets using these unknown forecasting quant secrets Read More »

Estimate cost of market impact

Want to learn about this algoritm? Learn more by joining our quant newsletter or  become a QuantLabs.net Premium Member today. Get access by going to: http://quantlabs.net/membership.htm NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don’t worry as I don’t post stupid cat videos or what I eat!

estimate Fill Ratio dependency on the Latency in orders execution for a HF strategy, what would you do ?

aIf you need to estimate Fill Ratio dependency on the Latency in orders execution for a HF strategy, what would you do ? I run back-testing on e-mini S&P500 and the software takes 100% fill ratio (for my limit orders) by default which is unrealistic for a HFT. The fill ratio should depend on the …

estimate Fill Ratio dependency on the Latency in orders execution for a HF strategy, what would you do ? Read More »

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