This is a summary of links featured on Quantocracy on Saturday, 01/30/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
The Trend Persistence Indicator [Financial Hacker]Financial markets are not stationary: price curves can swing all the time between trending, mean reverting, or entire randomness. Without a filter for detecting trend regime, any trend following strategy will bite the dust sooner or later. In Stocks & Commodities February 2021, Richard Poster proposed a trend persistence indicator for avoiding unprofitable market periods. The TPR indicator