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Alphability

Published in Automated Trader Magazine Issue 06 July 2007

This issue of Automated Trader marks the launch of a new set of tradability statistics called Alphability. Andy Webb outlines some examples of their construction and their application as tools to expedite the development of automated and algorithmic trading models.


Alphability statistics are intended to provide an indication of the relative ease of capturing alpha from specific markets and time frames using generic categories of trading model. The two categories presented here are trend and reversal strategies. (Metrics and a database of matching engine rules for scalping and other 'order book&rs

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