AbleSlice Execution Performance Over Time

Post date: 2024-02-19 17:54:35 GMT

AbleSlice HFT-avoiding execution overlay has delivered stable performance over several years.

Measuring long-term performance is naturally of paramount importance in estimating a model’s

stability. Figure 1 shows performance of AbleSlice HFT-based Execution averaged for all

Russell 3000 stocks. The Execution model delays buying in the presence of high HFT buy flow,

while doubling down on selling in those periods. At the same time, when the sell HFT flow is

high, the model recommends buying into that flow to improve your pricing and waiting out to

sell. The key idea of this execution overlay is that HFT flow is short-term by design and is likely

to mean-revert. Simply waiting out unfavorable flow and doubling down into favorable liquidity is

a strategy compatible with all execution schedules. As the chart shows, the performance of the

strategy has been remarkably persistent over time.

As Figure 1 shows, most months, the strategy achieved significant and, most importantly,

persistent gains. The figure shows the average performance improvement over TWAP with

execution using AbleSlice methodology. All results are averaged over the entire Russell 3000. In

April 2022 and October 2022, the performance was subject to significant outliers distorting the

average.

Contact us today to see how you can start benefitting from AbleSlice in your execution.

About AbleSlice

AbleSlice, a product by AbleMarkets, revolutionizes execution management by providing unique

microstructure-based data sets that enable more effective order slicing and comprehensive

insights into market conditions. We empower execution managers to make informed decisions

by delivering accurate estimates of changes in buy and sell liquidity across a wide range of

markets, including equities, commodity futures, foreign exchange, and cryptocurrencies. Our extensive coverage includes both U.S. and European markets, ensuring that clients have

access to critical information for their trading strategies.

At AbleSlice, we leverage our deep understanding of market microstructure and employ

cutting-edge Artificial Intelligence (AI) techniques to gather and process real-time data. By

integrating these advanced technologies, we create dynamic datasets that capture the

ever-evolving nature of market liquidity. Our commitment to delivering real-time insights enables

execution managers to adapt swiftly to changing market conditions and make optimal trading

decisions.

With AbleSlice, clients have access to historical data on hourly liquidity changes dating back to

January 1, 2022. This comprehensive historical perspective, coupled with our real-time data

capabilities, provides a holistic view of liquidity dynamics, empowering execution managers to

make more informed decisions. AbleSlice is the ultimate solution for execution managers

seeking to optimize order slicing while capitalizing on market opportunities.

Choose AbleSlice by AbleMarkets and unlock the power of microstructure-based data to

achieve better execution outcomes and maximize trading performance.

DISCLAIMER:

AbleMarkets expressly does not take any responsibility for any profitability or losses incurred in

association with AbleMarkets products. All the risks of using AbleMarkets data are borne strictly

by the investors and data licensors. Past performance does not guarantee future results.

Additional Terms and Conditions apply as specified in the online (AbleMarkets.com or

AbleAlpha.com) or written agreement