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Mechanical/System Trading with Statistical Edge
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Statistical Mechanics of Day Trading
Statistical Arbitrage
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scaled out of #russell #nasdaq pair @11.7; average @10.5
Exec Time
Spread
Side
Qty
Pos Effect
Symbol
Exp
Strike
Type
Price
Net Price
Order Type
Spread
11.7
2/2/2018 11:48
STOCK
SELL
-200
TO CLOSE
IWM
ETF
154.77
154.77
MKT
2/2/2018 11:48
STOCK
BUY
200
TO CLOSE
QQQ
ETF
166.47
166.47
MKT
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