HFT Simulation
Event-driven, tick-level simulation for monthly unemployment releases. Trained on a rolling 12-month window; each tick scores multiple time-horizon anchors. Trades fire only when predicted move clears a threshold with adequate confidence, and outcomes balance PnL vs. risk (Sharpe/MaxDD/Turnover).
Date format : yyyymm
Risk Score = wS·Sharpe − wT·Turnover − wD·MaxDD (then scaled to 0–10).
Perf Score = vP·(Total/100) + vA·Avg − vD·MaxDD − vC·(Turnover/1000) (then scaled to 0–10).
Top-K Recommendations
anchors
Risk-based
Performance-based
Risk by Horizon
Anchors
Risk Metrics (risk-only columns)
| Horizon (ms) | τ | q | Sharpe | Turnover | MaxDD | Utility | Risk Score (0–10) |
|---|
Risk scores are min–max scaled per dataset to 0–10.
Performance by Horizon
Anchors
Simulation Results
| Horizon | Trades | Total PnL (bps) | Avg PnL | Median PnL | Profit | Loss | Flat | Win % | Perf Score (0–10) |
|---|
Perf scores are min–max scaled per dataset to 0–10.