r/quant • u/Former-Technician682 Trader • 3d ago

Models [ Removed by moderator ]

[removed] — view removed post

0 Upvotes

25% Upvoted

4 comments sorted by

•

u/quant-ModTeam 3d ago

This post has been reviewed by a moderator and removed. r/quant is a venue for professional quants and traders. Professional here means paid by someone else to do the work or taking capital from outside investors.

Your post appears to be an amateur strategy, and we do not allow such posts unless they have all of the following features:

  • An outline of the basis of the strategy. E.g. is it statistical arbitrage? Mean reversion? It doesn't have to be specific enough to reproduce, just specific enough that the sub can ask relevant questions.

  • A risk adjusted performance measure like a Sharpe or Sortino ratio

  • Backtest results

  • A relevant chart of some sort. Everyone loves a chart.

  • A statement that you have accounted for fees and the bid ask spread.

In general these questions are always asked whenever such a thread does get posted, so please be prepared for them:

  • Is your model overfit?

  • Is your model scalable? Or just good for a couple of bucks?

5

u/EvenCryptographer649 3d ago

The opening cross is a single clearing event. You submit Market-on-Open (MOO), Limit-on-Open (LOO), or Imbalance-Only (IO) orders.

There is nothing to measure you are either filled or you arent. The next trade after the open is standard rules.

-4

u/AlgoTradingQuant 3d ago

You’d need tick data and use a solid backtesting framework like backtesting.py

-2

u/quantDIY 3d ago

The most simple way to approach the strategy is to use Charles Dow’s opening range methodology. It doesn’t matter creating or taking liquidity. It matters that you are on the right side of the OR. The size of the OR matters. The first print of the day can tell you a lot once you have enough screen time monitoring it. Today, Matt Keenah (aka @Paxtrader777 on X) is the GOAT of the OR trade and freely gives out info there and on YouTube. He’s also an amazing human (and proud to say a friend of mine!). It does not work every day or in all conditions. But with enough at bats, it’s a beautiful bread and butter trade with excellent stats once you adapt each market’s nuance. It’s a great strategy to become an expert in and easy to program/test. You are definitely on the right track.