Re:Algorithmic Trading: A Practical Tale for Engineers
by OldSchool on Tuesday August 27, 2013 @05:42PM
(#6286491)
Correct. In this simple algo scenario the position is assumed to be long 1X or short 1X at any given time. After the first trade, all reversals trades are then either buy 2X or sell 2X until the very last trade.
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