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The algo occasionally holds the position for more than 1 day but it is rare. A day seems a natural trading period for stocks. We did try several trading periods. In general, more trading opportunities mean more gains but stocks have a natural periodicity due to having an open and close time.

We also tested stop losses and in general, they don't work and just impact negatively the cumulative gains.

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Giovanni Santostasi
Giovanni Santostasi

Written by Giovanni Santostasi

Physicist, neuroscientist, financial analyst. CEO and Director of Research at Quantonomy: https://www.quantonomy.fund/giovanni-santostasi-phd

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