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Did anyone actually try this with real money? Does the model include transaction costs and market impact effect?

• fawce 14y ago
  If you click on the code and search for commissions, you'll see how those costs are taken into account. The big missing thing is the market for borrowing the stock to do the short side of the trade. No money has traded on my version no. But, I understand that asset management firms have licensed the more sophisticated one Jess wrote at TR, so I would think they use it with real money. From what I understand, firms look at numerous signals like this, and then make investments based on a combination of the signals.