Spent most of the day paying serious attention to details of one trading strategy — cleaning noise out of the signal, carefully legging into trades, minimising unnecessary turnover etc — and improved Sharpe of the backtest from 1.5 to 2.8
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No new ideas, no optimisation of parameters, just tedious data cleaning and careful implementation. This is a reminder that paying attention to the details matters!
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Replying to @macrocephalopod
Nice. What timeframe does the strat operate in?
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Replying to @AndrewHolpe
decision cycle (eg whether to post or cancel orders) is every tick but holding period is hours to days
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Replying to @macrocephalopod @AndrewHolpe
the backtest simulates on 1 second binned data because i’m impatient
4:30 PM - 16 Feb 2021
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