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Comment by belter | Hacker News Reader

Now add trading commissions :-)

I decided not to add trading commissions because most brokers have removed them after Robinhood entered the market.

Short selling, though, incurs an additional borrowing cost. That's been going up for ETFs since 2020. "The price of short-selling U.S. exchange-traded funds has jumped dramatically since the beginning of March as investors seek to stem heavy losses in the wake of the coronavirus epidemic, according to data from S3 Partners."[1]

This needs to be re-run with the borrowing costs added.

The fact that EFT short selling costs have gone up indicates that others are active in this space, which means the profit opportunities for a simple algorithm have probably been already taken.

[1] https://www.reuters.com/article/us-usa-stocks-shorts-etfs-id...

There's no stock loan fee if you close the position the same day.

If you paired it with a "long everything" strategy (to reduce risk or whatever -- fewer eggs in this basket) the net strategy is something like "buy everything except yesterday's top performer", which can be done quite cheaply. Though fees on sector ETFs are high relative to broader ones.

There is still a spread.

There is no spread when you trade at the open and the close. There could be slippage (you can create a market impact) but it would be minimal on sectorial ETF because they are extremely liquid.

And shorting is not free.

Taxes would be a good one to add

If one of my algos makes money, I'm happy to pay.

This would all be short term trading, so it would be counted as ordinary income, which is bracketed.

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