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Returns by time horizon (Read 4794 times)
openstrategy
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Returns by time horizon
03/30/10 at 04:44:02
 
Hi.  First post here.  Nice forum!  

I'm tasked with researching proven returns by equities quant strategies across time horizons.  The primary buzz online regards micro-horizon (hi-frequency) trading but I want some numbers that I could crunch along side transaction cost, product maintenance effort, and overall development time of new concepts.  Pointers to any white papers, studies, books, articles, sites, etc. are all welcome.

That was my request for hard data or references.  Now, I'm also interested in your personal experiences.  

I've read a bit about firms trading on longer horizon forecasts where some let the application manage the entire rebalancing but others use this as a reference for their discretionary portfolio managers.  Another thought is that perhaps the method by which execution is necessary can simply be manual, allowing time for traders' discretion to kick-in, until the horizon of the strategy is developed to be too short for it to physically be handle manually.

All thoughts welcome.  Thanks.
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cjforex
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Re: Returns by time horizon
Reply #1 - 07/26/11 at 09:53:29
 
I've fought long and hard for short time horizon trades but overcoming transaction costs have been nearly impossible. They run with razor thin margins so any fluctuation in market conditions causes them to run flat or even negative.

The math to show this is really simple. PM if you want more details.

If you have access to institutional pricing it could be a different story, but under the same mathematical limitations.

Cjforex
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