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ramnikarora's Comments

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How Profitable Are High-Frequency Strategies?

Commented Jul 27, 2010 at 14:29:20 in Business

“Irene you have missed out the assumption that average returns are normally distributed while using 95% statistical confidence.
Importantly, this (High-Low) is a very unrealistic strategy and not representative of the performance. It would be more interesting to study a number of strategies, and their response to the trading frequency.
@Sundial: Surely you don't suggest a change in the volume based on the frequency of trade. Here Irene is backtesting on the EUR/USD, assuming she trades all High - Low, which is the maximum profits you can possibly realize. There is no discussion of volumes.”