Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2404.14252 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Table of Contents:
- This paper establishes that conditioning the probability of execution of new orders on the self-generated historical trading information (HTI) of a trading strategy is a necessary condition for a statistical trading edge. It is shown, in particular, that, given any trading strategy S that does not use its own HTI, it is always possible to construct a new strategy S* that yields a systematically increasing improvement over S in terms of profit and loss (PnL) by using the self-generated HTI. This holds true under rather general conditions that are frequently met in practice, and it is proven through a decision mechanism specifically designed to formally prove this idea. Simulations and real-world trading evidence are included for validation and illustration, respectively.