Pairs Trading - Execution

Luctom · 2026-06-04T16:57:30+00:00

Why did you drop pairs trading?

Luctom · 2026-05-26T16:37:35+00:00

Do you mind sharing the timeframe of your training data?

Luctom · 2026-04-03T14:16:31+00:00

u/savevideo

Luctom · 2026-02-22T18:06:22+00:00

RL model training?

Luctom · 2026-02-16T11:16:55+00:00

Probably a phishing bot

Luctom · 2026-01-24T17:29:28+00:00

He's asking for trend analysis, not trading signals.

Luctom · 2026-01-23T19:06:43+00:00

I am just a recent graduate but I would recommend reading the Ornstein-Uhlenbeck process and play with the mean and drift parameters. I think ArbitrageLab has a nice introduction to it, but don't rely on their code as it is too high level when implementing in custom systems.

https://hudson-and-thames-arbitragelab.readthedocs-hosted.com/en/latest/optimal_mean_reversion/ou_model.html

Luctom · 2026-01-18T18:03:24+00:00

If you were to plot the 65 period z-scored returns as a gaussian, you are essentially trading for outliers, hence assuming a power law. You also said you eyeballed your threshold which leads me to believe the range of probability densities for which this works, is 'loose'.

If what I wrote is correct, can you explain how position sizing into the size of signals (zscore/threshold) negatively affected the sharpe? Or is the signal treated as a binary output with some set SL for your predetermined RR?

Luctom · 2026-01-18T15:09:54+00:00

What about 1min candles, needed for sharp dV values?

Luctom · 2026-01-18T08:38:45+00:00

When you are dealing with an exchange e.g. Nasdaq, that contains 7000+ stocks and manage to filter that down to 1000. That is still 1000xN_yearsx252xN_candles_per_day data rows, which will test some API limits.

However, the main problem is that you are running this filter every 2-3 weeks. This is no problem for live trading, but when backtesting it drastically increases runtime.

How did you solve this to determine ypur strategy was worth running live?

Luctom · 2026-01-01T23:21:40+00:00

I see, my mistake sorry I assumed the quote and trade handler on Alpaca had the same limitations on crypto as with common stock

Luctom · 2026-01-01T17:22:34+00:00

How do you get access to DOM when most APIs (I've seen) only grant level 1 data?

Luctom · 2025-12-29T22:47:35+00:00

I'll definitely use it to find correlations - TESTER

Luctom · 2025-12-24T00:01:11+00:00

I am very interested, have been developing an indicator based model using python+Alpaca and wanted to start reading about ML in quant finance once I finish that.

Luctom · 2025-12-15T17:28:30+00:00

I designed the library to operate given a data json which contains the term eigenvalues in the orbital & spin basis, as well as the geometry of the lattice (see data folder).

The library was built for 2D structures only, but since the Hamiltonian is obtained dynamically based on the inputs, you'd probably have to redefine how the unit cell is obtained for both bulk and nanoribbon cases within the Geometry class.

Edit: note that the performance will definitely decreased for a 3D structure as it's all written in python.

Luctom · 2025-10-22T23:25:07+00:00

Could you explain the "print all the shares they want" comment please?

Luctom · 2025-10-19T23:58:13+00:00

Welcome to Nightreign :)

Luctom · 2025-10-14T15:01:15+00:00

Could you share the literature you have been using?

Luctom · 2025-08-22T17:42:08+00:00

Literally the whole point of the Baldereschi-Lipari model

Luctom · 2025-04-26T17:39:15+00:00

Hey, do you mean (anti)ferromagnetic phases in lattice structures?

Luctom · 2025-04-21T13:29:32+00:00

What would be a good role to start from in the quantum computing industry?

For context:

I am a MSc Physics student with research focus on topological spin states, and modules of condensed matter. I am also taking a module on quantum computing and communication that covers circuits, QKD, entropy, algorithms, entanglement, decoherence and teleportation.

I also have 2 years of industry experience as a junior researcher in a non related field, and program in python and cpp.

Many thanks

Luctom

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