https://111qqz.com/tags/alpha/Recent content in Alpha on 111qqz的小窝Hugo -- gohugo.iozh-cnhust.111qqz@gmail.com (111qqz)hust.111qqz@gmail.com (111qqz)© 2011-2026 111qqzThu, 29 Oct 2026 21:30:00 +0800https://111qqz.com/2026/10/obi-ofi-microprice-hf-alpha/Thu, 29 Oct 2026 21:30:00 +0800hust.111qqz@gmail.com (111qqz)https://111qqz.com/2026/10/obi-ofi-microprice-hf-alpha/<p>前两篇写 <a href="https://111qqz.com/2026/10/bid-ask-spread-adverse-selection/" >Bid-Ask Spread 和 Adverse Selection</a> 以及<a href="https://111qqz.com/2026/10/execution-aware-backtesting/" >执行感知回测</a>的时候，讨论的核心问题是&quot;预测对了方向，为什么交易还可能亏钱&quot;。结论是执行成本、成交概率和 Adverse Selection 都会侵蚀预测收益。</p>