giovedì 13 marzo 2014

The Fifth Step to Systems Success: Frequency

Our fifth of seven steps for building, testing, and following a system is to understand the frequency of the system. Higher frequency increases profit potential, but it also reduces reliability.

The two primary downsides of higher frequency are 1) transaction costs and 2) execution assumptions. In back testing you can assume buying every bid and selling every offer. But this just doesn’t happen in the real world. But to assume paying every spread may be too conservative. Experience and live forward testing are the only ways to know how well your assumptions match up with reality.

The two primary benefits of higher frequency Read more [...]

For more info: The Fifth Step to Systems Success: Frequency

SMB Capital – Day Trading Blog