strategy: filter out pre-release models

zhehaowang / sneaky

Feed and strategy for cross-venue Sneakers trading (Du, StockX).

GNU Lesser General Public License v3.0

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strategy: filter out pre-release models #24

Closed zhehaowang closed 5 years ago

zhehaowang commented 5 years ago

Pre-release models are deemed volatile and risky given our long holding time. For now we should exclude them from our results, after we figure out #22 .

zhehaowang commented 5 years ago

https://github.com/zhehaowang/sneaky/commit/2efc15bf3a00f342c8f23db29e91f3e86d0fd939 should introduce a discount factor for this.