Strategy Name
Symbols to Monitor
Max Positions Long:
short:
Strategy start / stop time:
important : strategy stop time is also the cut-off time when exit TWAPs will begin. make sure TWAPs are short enough to complete before market close
Filter Parameters
IF SD60 (STANDARD DEVIATION 60S) IS GREATER THAN
IF COVV1800 IS LESSER THAN
IF SP60 (SPREAD PERCENTAGE 60S) IS LESSER THAN
IF 1800DIVSD (SCORE) IS
or
Entry Parameters
if stock enters top X (or top of the bottom X)
Notional Size (1000s):
Max Notional Size (1000s):
Order Each CUMTIME SECONDS:
Ref Thru Price %:
Exit Parameters
if stock exits top X (or top of the bottom X)
Notional Size (1000s):
(POS SIZE)
Ref Thru Price %: