În sfârșit cineva pune pe net un statement pt o strategie HFT. Drawdown maxim 7%. E timpul să ne strângem jucăriile și să mergem acasă.
Most investors have probably never seen the P&L of a high frequency trading strategy. There is a reason for that, of course: given the typical performance characteristics of a HFT strategy, a trading firm has little need for outside capital.
By way of illustration I have attached below the performance record of one such HFT strategy, which trades around 100 times a day in the eMini S&P 500 contract (including the overnight session). Note that the edge is not that great – averaging 55% profitable trades and profit per contract of around half a tick - these are some of the defining characteristics of HFT trading strategies.
Mai mult detalii pt cine vrea să plângă: http://jonathankinlay.com/index.php/2015/05/high-frequency-trading-strategies/