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psemdel / py-trading-bot

Trading-bot in python using django, vertorbt lib and interactive-brokers
MIT License
156 stars 38 forks source link

101 formulaic alphas #20

Closed ben1628 closed 1 year ago

ben1628 commented 1 year ago

What is your experiences on that?

Are you using all of that in your preselection and choose the top 10?

psemdel commented 1 year ago

I recommend using them only if you have very low fees, as most of them are very dynamic. You don't need to make a top 10, each alpha will give you candidates. Of course, you can imagine another algorithm, but it is not the way it is meant. You should make some backstagging (wq.ipynb), to see which one fits the best with the products you want to trade.

ben1628 commented 1 year ago

Do you mean IB's fee is not low enough?

psemdel commented 1 year ago

It depends on which stock exchange you trade. On Nasdaq and NYSE, it should be ok, but it impacts much more the performance on strategies, like those alphas, with one order a day than on strategy with one order a month. I am not financial consultant, I try also to figure it out on my side. As said, perform some backtesting is probably the most reliable way to verify things.