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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 executions per period

This risk measure is an interval-based risk check. An interval-based risk is a counter that resets after a fixed amount of time and the risk check is imposed within such a time slice. So, while there is no final limit, it's important that the limit isn't exceeded within the time interval that is meant to detect and avoid over-trading. The interval-based risk measure we will inspect is maximum executions per period. This measures the maximum number of trades allowed in a given timeframe. Then, at the end of the timeframe, the counter is reset and starts over. This would detect and prevent a runaway strategy that buys and sells at a very fast pace.

Let's look at the distribution of executions per period for our ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content