Closed timmulvaney closed 6 months ago
After extensive testing, it was found that due to the decreasing liquidity and increasing difference between ask1 or bid1.
The strategy either: A buys, shares initially but then never sells Makes almost no buys or sells.
In order to allow the comparison of the models to trading signals, the mid-price will be continued to be used.
This issue will be discussed in the report with the suggestions of using a more varied threshold
Error in buying and selling used mid-price instead of ask1 or bid1