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n****s
发帖数: 137 | 2 I used it to trade highly liquid assets. 过去三个月实际帐户操作中，发现
slippage影响不大。 |
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p****u
发帖数: 2596 | 3 几万块 在liquid asset里面当然没有slippage，你commition之类的有多少.. |
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p****u
发帖数: 2596 | 4 这个几百万块几千万块 slippage也没有多大，我说在liquid 股票里面的话。 |
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t********a
发帖数: 810 | 5
几万的capital有个鸟slippage... |
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t*******8
发帖数: 67 | 6 Hi, all,
If you are interested, please send me resume in word version to
t**[email protected].
The comp is open.
Thanks.
Thomas Gan, Ph.D.
Options Group
http://www.linkedin.com/pub/tom-gan/3/64b/93a
1 - Risk Quantitative
Key Responsibilities;
- Review of all risk models to ensure accuracy
- Construction of new models as needed as the firm trades new
products. This may be as simple as a RiskMetrics implementation to
something more complex requiring building valuation from scratch in
Excel... 阅读全帖 |
|
S*********g
发帖数: 5298 | 7 或者说，是楼主的这个entry point更重要，还是那些手动操作的execution更重要。
最近考察过一个类似的strategy，目标利润是4个pip
entry point的算法说的天花烂醉
最后发现，和随机进入的效果差不多，关键就是execution做的有多好
要不然就是一个被slippage吃掉的命 |
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s*******s
发帖数: 1568 | 8 即便是slippage难估计一点，这么long term的book还是很容易simulate的阿，不懂啥
叫找data 做backtest，data不就都在那里吗，各个exchange所有raw msg |
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S*********g
发帖数: 5298 | 9 真要是两周左右的trade，slippage/market impact应该不是那么关键的问题 |
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S*********g
发帖数: 5298 | 10 这年头，其实就看你能不能比竞争对手好一点。就算是大家想法都差不多，
你的alpha好一点点，slippage model，riskmodel好一点，optimization做得好一点，
关键还有execution做的好一点，你就有钱赚。
细节决定成败，有时候一点小改进，你就可能有一阵子的大优势
finance |
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w**********y
发帖数: 1691 | 11 Second this. 借用上周party一个TWR的Senior PM的话,"这辈子还没见过超过0.04的
strategy".
我跟他讲我一个paper里面的R^2差不多是0.2,差点没给他逼疯掉..(其实我说的0.2是
correlation...)
HFT考虑到你的 slippage,latency和cross over cost, 最终能realized的R^2远小的多 |
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S*********g
发帖数: 5298 | 12 能赚钱是唯一标准
R^2最好的setup不一定是最能赚钱的。
因为R^2是个理论值，
它不考虑risk distribution，constraint，以及slippage等 |
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S*********g
发帖数: 5298 | 13 这年头，其实就看你能不能比竞争对手好一点。就算是大家想法都差不多，
你的alpha好一点点，slippage model，riskmodel好一点，optimization做得好一点，
关键还有execution做的好一点，你就有钱赚。
细节决定成败，有时候一点小改进，你就可能有一阵子的大优势
finance |
|
w**********y
发帖数: 1691 | 14 Second this. 借用上周party一个TWR的Senior PM的话,"这辈子还没见过超过0.04的
strategy".
我跟他讲我一个paper里面的R^2差不多是0.2,差点没给他逼疯掉..(其实我说的0.2是
correlation...)
HFT考虑到你的 slippage,latency和cross over cost, 最终能realized的R^2远小的多 |
|
S*********g
发帖数: 5298 | 15 能赚钱是唯一标准
R^2最好的setup不一定是最能赚钱的。
因为R^2是个理论值，
它不考虑risk distribution，constraint，以及slippage等 |
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S*********g
发帖数: 5298 | 16 use whatever price you can realize in real trading. Otherwise, you will have
to use different slippage model for different prices you use.
★ 发自iPhone App: ChineseWeb 7.8 |
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w**********y
发帖数: 1691 | 17 而且你的策略怎么能依赖finance service company给的data呢？
NBBO 16:00:00 的data应该是唯一的吧？这是你应该用的，算上你自己的slippage的
assumption |
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S*********g
发帖数: 5298 | 18 use whatever price you can realize in real trading. Otherwise, you will have
to use different slippage model for different prices you use.
★ 发自iPhone App: ChineseWeb 7.8 |
|
w**********y
发帖数: 1691 | 19 而且你的策略怎么能依赖finance service company给的data呢？
NBBO 16:00:00 的data应该是唯一的吧？这是你应该用的，算上你自己的slippage的
assumption |
|
l*******n
发帖数: 206 | 20 Very interesting. Thanks for sharing.
http://en.wikipedia.org/wiki/Regulation_NMS
So before 1972, mkt was framented as well. the price difference at different
mkts could be quite large. so they push for one national market, then they
found issues, and Reg_NMS was born, mkt fragmented again with much lower
spread. But you are subject to front run by HFT arb strategy, now HFT debate
starts.
As an investor (i.e. longer term, slower, less tech savy trader), does that
mean spread as a measure of hug... 阅读全帖 |
|
t****z
发帖数: 55 | 21 lz朋友就是个纸上谈兵的货
先别说就拿不到一年来看 以后work不work
光slippage就完全不考虑的,你拿100w去买10块量小的股试试,更别说开到hedge fund至
少几百m的量级了 |
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J*****n
发帖数: 4859 | 22 【 以下文字转载自 JobHunting 讨论区 】
发信人: Jadeson (紫昂德帅), 信区: JobHunting
标 题: Need a Jr developer
发信站: BBS 未名空间站 (Thu Mar 12 11:18:29 2015, 美东)
Great C#.Net Developer position that is co-located with the Front Office
Securities business and is part of the global trading technology team. You
will have the opportunity to work on the real time trading platforms as well
as working closely with the traders to automate trading strategies. This
role is unique in that it is both Development and Ops focussed (on ... 阅读全帖 |
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k***g
发帖数: 7244 | 23 currency etf 有 fee 和 interest carry, 所以 dynamics 和currency 有不同。
另外纸面上的sharp ratio 在考虑到 spread, slippage, borrow cost 之后就所剩
无几了吧。
体力活的alpha 一般只有market maker 才能做，赚个力气钱。。。 |
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s*******s
发帖数: 1568 | 24 do u know slippage?
A Annualized Sharpe 3 strategy will lose money for sure in US market.
10M |
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E********y
发帖数: 63 | 25 do you mind to elaborate a bit more about your estimation on his slippage?
very likely his strategy is weekly rebalanced with 20~30% turn over on S&
P500 universe. Thanks! |
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m********8
发帖数: 11 | 26 那我请问你，在US市场，多少Sharpe Ratio 才能赚钱？
Slippage does not have big impact for me. |
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s*******s
发帖数: 1568 | 27 slippage当然要实盘才知道,特别是BookSize $400MM plus。。。execution非常重要，
volume, turnover.这些年回测无DOWN MONTH实盘一上SIZE就STOP LOSS的Book见太多了 |
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m**********n
发帖数: 112 | 28 不是说所占成交量的比例越少越好吗？ 占的比例越大，潜在的slippage就越高啊。最
极端情况是占成交量的100%，就变成自己玩了， 左手倒右手。难道是国内的玩法不一
样吗？ |
|
F*********e
发帖数: 2696 | 29 某人去Ferrari NA的HQ参观了一下
http://axisofoversteer.blogspot.com/2011/02/axis-gets-look-at-f
The 4wd system is brilliant, it's a Ferrari patent developed over six years
ago. Half the weight of any other all wheel drive system, it works with two
completely separate gearboxes one rear transaxle and one mounter
transversely in front of the engine. There are two driveshafts and is no
center differential.
The front gearbox has two forward gears and reverse with one clutch per axle
. It's geared so that firs... 阅读全帖 |
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c*********r
发帖数: 19468 | 30 How about the official press release?
2015 SUBARU WRX® MAKES WORLD DEBUT AT LOS ANGELES AUTO SHOW
New platform offers a stiffer, more agile chassis for Subaru global
performance icon
New torque-vectoring system reduces understeer
New 268-hp 2.0-liter direct-injection turbo BOXER engine
New standard 6-speed manual transmission
New Sport Lineartronic® CVT with manual modes
LOS ANGELES, Nov. 20, 2013 – Subaru of America, Inc. today introduced the
2015 WRX, a more powerful and better handl... 阅读全帖 |
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w*******y
发帖数: 60932 | 31 Link:
http://www.amazon.com/dp/B000051WQV
DEWALT DW920K-2 Heavy Duty 7.2-Volt Ni-Cad Cordless Screwdriver
List Price: $139.66
Price: $59.95 & this item ships for FREE with Super Saver Shipping.
Details
You Save: $79.71 (57%)
A versatile, compact choice for fastening or drilling in wood, plastic, and
even some light metals, the DeWalt DW920K-2 heavy duty cordless screwdriver
provides 0-500 RPM and 80 in./lbs. of torque for fast, efficient performance
. Featuring a unique two-position han... 阅读全帖 |
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w*******y
发帖数: 60932 | 32 Free Shipping with coupon code YRSIGNATURE2010
If you have used the free shipping code before and are having difficulties
you might be able to clear your cache and have it work, or you will need to
create new account. I used it just yesterday, and am able to use it again
without doing either.
***free ship shows on credit card info page***
Sarah Peyton Home Photo Coaster Set
Link:
https://www.bonton.com/shop/home/home-decor/frames-and-photo-albums/novelty-
frames/sarah-peyton-home-photo-coaster-s... 阅读全帖 |
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w*******y
发帖数: 60932 | 33 mygofer.com (aka sears/kmart) has this:-
DeWalt DC725KA 18-volt Cordless 1/2'' (13mm) Hammer Drill Kit:
http://www.mygofer.com/shc/s/p_10175_27151_00928368000P?viewTas
for $104.49 with free shipping
Use Code JULY4 for 10% off
Final Cost:- $94.04 + tax
You may have to log in to see availability in your area - use your sears.com
or kmart.com login information if you haven't registered at mygofer.com
before
I put a quantity of 999 in my cart and it didn't say that it was unavailable
Amazon - $153.9... 阅读全帖 |
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w*******y
发帖数: 60932 | 34 Longest post title ever, so it should pretty much sum it all up.
Lowe's dropped the price on their DEWALT 14.4-Volt 1/2" Cordless Drill with
Case from $179 to $99.97 from now thru 7/25. Price is online and B&M.
Mover's coupon makes it even gooder @ $89.97.
Compact size: allows users to fit into tight spaces
Lightweight design (4.3 lbs.) minimizes user fatigue
1/2'' single sleeve ratcheting chuck reduces bit slippage
High-performance frameless motor delivers maximum power of 30... 阅读全帖 |
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w*******y
发帖数: 60932 | 35 From Advance Auto Parts:
1.Find the Ramps HERE:
http://shop.advanceautoparts.com/webapp/wcs/stores/servlet/prod
.
2. Coupon code = P20 Appy when checking out to get an extra 20% off a
single item.
BREAKDOWN:
Original Price $44.99
Sale price $32.99
Coupon code: P20
You saved $18.50
Tax 1.57
TOTAL: $27.97
Blitz RhinoRamps 8000 Vehicle Ramps allow for convenient access to the
underside of your vehicle and support a gross vehicle weight capacity of up
to 8,000 lbs.
Product Features:
* Built fo... 阅读全帖 |
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w******s
发帖数: 16209 | 36 这些可能让quant来给你设计出合适的策略比较好。
但小资金，你可以用加stop，然后找出方向后再做。
方向不明的时候可以避免，如果等待方向trader里常作的方法是在整理区间上下各设置
一个stop，
反向stop trigger break out、break down的建仓。
。。
你strategy 复杂的时候
操作起来会晕的，最后slippage回让你发现现实和理论差的很远。搞的你套利不套利都
很难办。 |
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c**t
发帖数: 9197 | 37 If a system can not make money with past data.
It is very hard to make it in the future.
Since in real life, there are always missed enter, slippage, etc... |
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c**t
发帖数: 9197 | 38 slippage is enviable.
If just once, then forget it.
Or change a broker. |
|
w*******o
发帖数: 6125 | 39 来自主题: _Stockcafeteria版 - 打酱油的精髓 赞Day trade SPY option.
Options slippage,手续费太高，我觉得还是ES划算一点
今天设了个Sell @1284.5钓鱼单，早上差0.75没Fill，
看来今天打白板了 |
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t*******o
发帖数: 1464 | 40 Russell Reconstitution
Annual rebalancing of Russell Indexes
In order to maintain true representation of global equity markets and avoid
capitalization and style slippage, Russell annually rebalances the entire
Russell family of indexes.
Annual reconstitution ensures that the Indexes reflect the changes in the
market over time and accurately represent the true opportunity set of
institutional managers. Russell's U.S. and global index families
reconstitute simultaneously.
2010 Reconstitution
The ... 阅读全帖 |
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m*z
发帖数: 2356 | 41 http://moneyslam.com/e-mini股指期货简介.html
e-mini股指期货的英文全称为e-mini Stock Index Futures。为了弄清楚它的具体含义
，我们有必要先搞清楚几个相关的基本概念：
1， “e“ 指的是“electronically'的意思，就是说所有的e-mini股指期货都是通过
计算机以电子撮合的方式交易，而不是像在交易所里的交易池中交易员通过喊话和手势
来完成。
2，”mini ” 指的是“迷你“性的合约， 也就是说所有e-mini的合约都是底层的原始
股指期货价值的五分之一。
3，Stock Index：顾名思义， 指的是股票市场的几种最主要的指数, 比如大家再熟悉
不过的：标普500指数（S&P500），道琼斯工业平均指数（DJIA），纳斯达克100指数（
NASDAQ100），罗塞尔中 小企业2000指数（Russel2000).
4, Futures: 这里是最重要的一点, 它们既不是股票，也不是ETF,更不是基金，而是以
多种股票指数为标的物的期货，为金融期货的一个品种。既然是期货，那末就要认识到
他同股票交易有明显的区分... 阅读全帖 |
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y*****l
发帖数: 5997 | 42 【 以下文字转载自 Stock 讨论区 】
发信人: yaokarl (大象), 信区: Stock
标 题: [合集] back testing result of my swing trading system
发信站: BBS 未名空间站 (Wed Jul 13 08:06:21 2011, 美东)
☆─────────────────────────────────────☆
SwingMan (I Love Swing) 于 (Sun May 22 16:35:36 2011, 美东) 提到:
stock list: over 4000 symbols from Yahoo finance,
during testing, delisted symbols are not considered.
Volume: 30 day average vol >500000 during the trading
Price: stock price>6 during trading
long only system, holding period from 2 to 7 t... 阅读全帖 |
|
