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Increasing the frequency of trading - copula algorithm.

Hi Jing Wu & Jared Broad ,

So i have re run the algorithm with daily data and it does seem to work.

I am not sure why i cant run the algorithm on high resolution data though.

i understand that the higher the frequency of data means the fees are greater, however if we trust, that we have a well hedged portfolio this should not mater, as the algorithm should only exit when the portfolio is in profit net of fees? otherwise the symbols should stay in the market? is there a way to code these rules in? 

To be honest I am not really understanding where the portfolio exits the market.

 

Many thanks,

Best,

Andrew

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