HFT (High Frequency) PP

[blackomen]

We've got a variety of different "enhanced" versions of PPs around here: leveraged PPs, LEAPs PPs, momentum-based PPs, etc. here..

So I'd like to float another idea around:

The High Frequency PP.

Note: you'd need an algorithmic trading platform and preferably be physically located close to the exchanges to implement this.

Rules:

- At market open, you establish a portfolio of 25% SPY, 25% GLD, 25% TLT, and 25% cash.
- Every X minutes, you rebalance the portfolio back to the exact weights above.
- If you've incurred a drawdown of at least Y% (including costs from trading commissions) during the day, the strategy is shut down (you close all positions and go to cash.)
- If you make it to the end of the day, you also close all positions.

Any HFT traders (current and former) lurking around who'd like to comment on the viability of this?

[dragoncar]

So at least 73% of the time you are invested 100% USD?

[blackomen]

So at least 73% of the time you are invested 100% USD?

On second thought, it's fine to hold overnight as long as you rebalance first thing each morning..  holding overnight positions is like breaking one of the 10 commandments in HFT but we do that all the time with our passive PPs.

Still looking for a paper trading backtester that supports intraday algorithmic trading rules...

[Sam Brazil]

So at least 73% of the time you are invested 100% USD?

Still looking for a paper trading backtester that supports intraday algorithmic trading rules...

I think WealthLab does this. And I also think you get free access to it with a Fidelity account.