This is a summary of links featured on Quantocracy on Friday, 01/20/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Cointegrated ETF Pairs Part II [Quantoisseur]Welcome back! This weeks post will backtest a basic mean reverting strategy on a cointegrated ETF pair time series constructed using the methods described in part I. Since the EWA (Australia) EWC (Canada) pair was found to be more naturally cointegrated, I decided to run the rolling linear regression model (EWA chosen as the dependent variable) with a lookback window of 21 days on this pair