Equity stat arb is this, done across a universe of similar assets and at scale. Good implementations - normalize for common risk (sectors, countries, factors) - look at volume as well as price - use many time horizons - include short-term fundamentals to explain big moveshttps://twitter.com/goodalexander/status/1383992798265806858 …
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bruh that's only like what, 12.7% per year? my neighbor's parrot's dog's lion's granddaughter made that on that doggocoin in like one day
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it's true, that shit is boring. I'm tryna hit grand slams out here, not home runs.
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Do people still do this on larger timeframes? I figured all of the avellaneda style stat arb in us equities had kinda been compressed to the <1 hour timeframe.
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Yes but you need to do a lot of the fourth bullet point (ideally with proprietary signals that are hard to replicate). WorldQuant has a >$3bn business with SR > 3, built around five day hold equity stat arb.
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