This is a summary of links featured on Quantocracy on Saturday, 12/24/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Mean Reversion Volatility Strategy [Milton FMR]Ever wondered if you can design a profitable trading strategy by trading volatility ETFs ? Well, yes you can. Those ETFs are highly ineffective vehicles on a long term investment horizon. However short term strategies have shown to be a rewarding way to trade these ETFs. Before we move onto strategy design we have to choose two volatility ETFs for backtesting. We will backtest our strategies with