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Tracking AbleMarkets aggressive #HFT helps beat VWAP (and other execution #algos)

Improve your execution today!  Download the full research paper here and reach out to steve@ablemarkets.com to get the ball rolling.

Abstract

AbleMarkets 20-minute Aggressive HFT Index tracks bursts of aggressive HFT activity in either buyer-initiated or seller-initiated trades.  When buyer-initiated trades exceed seller-initiated trades by at least 10% in any given 20-minute interval, as reported by the AbleMarkets aggressive HFT index, halt the VWAP buy schedule while doubling up on the VWAP sell volume schedule.  Similarly, when seller-initiated trades exceed buyer-initiated trades by at least 10% in any given 20-minute interval, as reported by the AbleMarkets aggressive HFT index, halt the VWAP sell schedule while doubling up on the VWAP buy volume schedule.  This simple process helped outperform VWAP by 8% on average across all of the Russell 3000 equities in 2015.