In my own studies, I have made a HFT technique that gave daily returns of anywhere between 20% to 130% (before commission). However, when I try to apply the same algorithm to this minute test, I got a return of negative 100%.
So right now, I'm wondering what makes HFT and minutes so different? Shouldn't they be essentially the same?
Jasper,
For a description of the data, see:
https://www.quantopian.com/faq#data
Also, there is a slippage effect, which you may be seeing in backtesting. For a work-around, see:
https://www.quantopian.com/posts/trade-at-the-open-slippage-model
My understanding is that you should not see significant slippage when paper/live trading with IB (although your trading frequency will be limited to minutely).
Grant
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