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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Maximum trade size

This risk metric measures what the maximum possible trade size for a single trade for the trading strategy is. In our previous examples, we use static trade sizes, but it is not very difficult to build a trading strategy that sends a larger order when the trading signal is stronger and a smaller order when the trading signal is weaker. Alternatively, a strategy can choose to liquidate a larger than normal position in one trade if it's profitable, in which case it will send out a pretty large order. This risk measure is also very helpful when the trading strategy is a gray box trading strategy as it prevents fat-finger errors, among other things. We will skip implementing this risk measure here, but all we do is find a distribution ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content