The document outlines the performance and strategy notes of a high frequency trading strategy developed and run at Tower Research. The strategy generated approximately $100K per day with an average return of 10bps and a Sharpe ratio of 8+. The strategy was diversified across FX, Futures, and Equities with an unleveraged capital of $100MM. The worst day saw a 40bps loss, and the worst drawdown was less than 1%. The strategy has been adjusted due to changes in equity order flow in 2012, leading to an increased holding period and adjusted signal horizon.
documents/EFTA00590201.pdf
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