The high-frequency trading strategy has basically failed.
The code ran for about half a month, and after multiple improvements, I finally found that such high-frequency trading is only suitable for one-way trading and not for both long and short trading.
If the overall direction is judged correctly, the overall will make a profit.
If the overall direction is judged incorrectly, the overall will be trapped.
So I decided to temporarily give up high-frequency long-short trading until there is a relatively perfect high-frequency strategy logic.
Or wait until a bear market, and then do one-way trading to go long.
In the past few days, I have optimized the original divergence strategy and will continue to run this strategy; although the trading frequency will be lower, it will be stable.
You can't have both fish and bear's paw 🦋