052: Ernie Chan – How Quant Strategies Are Created, Scrutinized and Introduced to the Market
Chat With Traders
00:00
How to Factor in Transaction Costs to Your Back Test
A lot of this strategy particularly high frequency strategy that look very good on paper and particularly favored by academic researcher you will find that it doesn't work beyond the top of book. The kind of transaction cost that's more much more difficult to deal with is opportunity cost, slippage commissions and market impact. These issues are really in the domain of high frequency trading even though you may not be a high frequency trader but if you put out a limit order there that is a substantial size is it going to affect the order book.
Transcript
Play full episode
