A Real HFT/MFT Alpha
An advanced 1h frequency cross sectional alpha
Introduction
In this article we will detail 2 (two!) proprietary orderbook alphas which achieve over 3 sortino when combined and over 2 Sharpe each individually. To date, there is no public literature documenting this alpha and is an entirely novel creation presented exclusively to readers of the Quant Arb Substack. We achieve the below performance as a raw signal using cross sectional z-score portfolio construction:
