14 Sharpe | 2.0 Leverage
Starting Capital: $1,000,000
Strategy
+ Mean Reversion
+ Trades twice a day
+ Minimize Beta
+ Maximize Sharpe
+ Dollar Neutral
+ Sector Neutral
My only concern is the impact of slippage when live. The Algo greatly outperforms down markets such that in 2008, with slippage, it returned well over 40%. However in bull markets, with slippage, the returns are not nearly as good. Any ideas on most efficient ways to reduce slippage during these up periods in the market?