Inspired by "sell in May and go away", I tried to repeat the pattern each day - sell in the beginning and buy at the end. To make it fun, I used randomly picked stocks in the universe. Doesn't seem bad. Any comment is appreciated.
Hi Taibo - thanks for sharing.
First thing to think about with increasing the rebalance frequency to "intraday" is that you'll want to consider sensitivity to transaction costs. Not sure if you happened to catch Tomas Bok's meetup in Boston this week - but if you get a chance take a look at his slides, he covers this topic far better than I could attempt to here (or maybe there will be an upcoming webinar?).
Incorporating one of Quantopian's slippage models (or at least just a fixed commission assumption) will be informative - my (albeit generic) concern is that in practice it will be challenging to achieve returns in excess of costs at the intraday frequency.
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Hi Jessica, thank you so much for sharing your ideas! You're right that the transaction cost may become the limiting factor of more frequent rebalances, and indeed slippage model does influence its performance. I'll look deeper into it.
I was in fact more into the idea that selling/buying at the beginning/end of the day would work better than most of the signals that I have been using thus far. In fact, even for randomly chosen stocks in this case, such a strategy greatly reduced volatility as compared to, say, this post.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.