The characteristics of short prediction horizon strategies like in HFT give you an amazing sharpe, but you're predicting small returns.
To scale returns you need to invest more, which means higher market impact, which means longer prediction horizon, on larger price moves.
The characteristics of short prediction horizon strategies like in HFT give you an amazing sharpe, but you're predicting small returns.
To scale returns you need to invest more, which means higher market impact, which means longer prediction horizon, on larger price moves.