One test bench for alphas and hypotheses
Every TreVmS alpha and market hypothesis now goes through one test bench with one set of rules before it reaches Alpha or Labs.
- The hit rate after a condition is compared with the usual rate for the same instruments at the same hours of the day.
- Selection runs on one period and confirmation on the next, corrected for the number of variants tried.
- Results are counted after taker fees and slippage; ideas that fail are not published as alphas.