spread control
When using fixed spread and not taking into account periodical/regular spread increases (on hourly basis), then during the strategy generation some FX pairs show a "false winning" edge mostly in the nightly hours that have a very low volatility (hours like 0h where all brokers normally increase their spread).
Due to this, SQX generates many useless, not realistic strategies that enter at 0h and exit few hour later.
This can be omitted by limiting entry hours (e.g.: by building using a strategy template) but this significantly slows down strategy generation process!
Proposal to implement some kind of spread check or max spread limit (if this is even possible) to open (and close) only during "normal" spread conditions.
Due to this, SQX generates many useless, not realistic strategies that enter at 0h and exit few hour later.
This can be omitted by limiting entry hours (e.g.: by building using a strategy template) but this significantly slows down strategy generation process!
Proposal to implement some kind of spread check or max spread limit (if this is even possible) to open (and close) only during "normal" spread conditions.
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Votes 0
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Project StrategyQuant X
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Type Feature
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Status Refused
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Priority Normal
History
Kc
MF
Mark Fric
24.09.2020 13:26Description changed:
When using fixed spread and not taking into account periodical/regular spread increases (on hourly basis), then during the strategy generation some FX pairs show a "false winning" edge mostly in the nightly hours that have a very low volatility (hours like 0h where all brokers normally increase their spread).
Due to this, SQX generates many useless, not realistic strategies that enter at 0h and exit few hour later.
This can be omitted by limiting entry hours (e.g.: by building using a strategy template) but this significantly slows down strategy generation process!
Proposal to implement some kind of spread check or max spread limit (if this is even possible) to open (and close) only during "normal" spread conditions.
Due to this, SQX generates many useless, not realistic strategies that enter at 0h and exit few hour later.
This can be omitted by limiting entry hours (e.g.: by building using a strategy template) but this significantly slows down strategy generation process!
Proposal to implement some kind of spread check or max spread limit (if this is even possible) to open (and close) only during "normal" spread conditions.
Status changed from New to Refused
Votes: 0
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