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No, it places orders market orders in any of the ETFs we need to rebalance mid-morning. Orders go out around 10:15am NY time on rebalance days. Also, the chart
by fawce 12y ago
No, it places orders market orders in any of the ETFs we need to rebalance mid-morning. Orders go out around 10:15am NY time on rebalance days.
Also, the chart in the page is from actual trading on a roughly $25k account, and updates each day.
- minimax 12y agoIt would be very interesting to see the chart of actual trading next to a similar chart generated by the Quantopian backtester. Very impressed with the product btw. Good work.
- jstauth 12y agoThat's a great question, I've been working up a more detailed analysis of implementation shortfall (and thinking about ways to make this automated) - but your question prompted me to post a quick comparison here that you can look at for some current results: https://www.quantopian.com/posts/live-results-vs-backtest-results-at-a-glance https://www.quantopian.com/posts/live-results-vs-backtest-re... Full disclosure, I work for Quantopian and I wrote this strategy.
- deepinsand 12y agoCan't a counterparty anticipate your orders and make a risk-free return?