Negative selection—a new performance measure for automated order execution

Journal of Mathematics in Industry

Table 1 Properties of Default and Black Box trading strategy

Ticker:		VOD		AZN		BARC		SASY
Ticker:		D	BB	D	BB	D	BB	D	BB
bid/ask1	Trig	8329	637	8219	1081	8337	1019	7505	438
	Trad	2969	536	4917	952	4395	657	4662	418
	Pday	5.36%	64.49%	3.61%	59.35%	2.38%	57.67%	8.19%	51.24%
	P	−68,230	12,942	−18,628	2483	−29,055	1996	−384	33
	VWAPs	1.84	−7.36	1.84	−2.33	2.27	−0.75	2.14	−3.58
	W/L[$]	−0.35	1.55	−0.39	1.31	−0.35	1.23	−0.46	1.31
	AP[$]	−22,981	24,145	−3788	2608	−6611	3038	−82	80
	PT	25.73%	54.10%	35.69%	52.84%	32.63%	52.97%	34.92%	53.59%
bid/ask2	Trig	8329	637	8219	1081	8337	1019	7505	438
	Trad	475	91	3100	714	2066	326	2629	357
	Pday	31.21%	51.11%	12.65%	59.15%	16.67%	64.44%	19.88%	59.13%
	P	−15,183	536	−11,856	2589	−12,404	1903	−191	70
	VWAPs	0.78	−0.48	1.25	−2.8	1.12	−0.92	1.3	−7.23
	W/L[$]	−0.39	1.08	−0.43	1.45	−0.46	1.48	−0.55	1.95
	AP[$]	−31,965	5896	−3824	3626	−6004	5838	−73	196
	PT	33.89%	46.15%	40.52%	56.72%	38.67%	59.2%	42.91%	60.22%
bid/ask3	Trig	8329	637	8219	1081	8337	1019	7505	438
	Trad	137	31	1935	454	1002	153	1506	221
	Pday	36.99%	50%	25.3%	59.68%	30.12%	68.48%	36.84%	67.44%
	P]	−3159	−286	−7447	1361	−5857	1087	−81	43
	VWAPs	0.49	−0.12	0.85	−2.07	0.54	−0.62	0.71	−4.31
	W/L[$]	−0.58	−0.9	−0.46	1.34	−0.5	1.52	−0.69	1.9
	AP[$]	−23,056	−9215	−3848	2998	−5845	7103	−54	196
	PT[%]	44.53%	48.39%	43.36%	57.49%	40.92%	67.32%	46.88%	60.18%