This is a summary of links featured on Quantocracy on Tuesday, 03/15/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trend-following and Mean-reversion in Bitcoin [Quantpedia]Indisputably, trend-following and mean-reversion are two key concepts in quantitative investing or technical analysis. The trend-following proponents suggest a performance continuation and that assets that have performed well will continue to do so. In other words, the trend-following strategies are characterized primarily as buying high and selling even higher. Conversely, the mean-reversion
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Analyzing intraday and overnight stock returns with pandas [Wrighters.io]I recently saw some chatter about a technical paper discussing the contrast between overnight and intraday stock returns. In the paper, we learn that overnight stock returns far outpace returns seen intraday during regular trading hours. In other words, stocks move the most when markets are not open, but when trading is taking place, the net returns seem to be close to zero. The paper claims this
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Is there any edge in holding stocks overnight? Correction [Rotating Stocks]In my previous post I discussed about trading overnight, since there was a clear edge holding the SPY over night. But due to small mistake that I made in my testing the results were bad and the edge disappeared. The mistake was setting commissions as 0.05 $ per share instead of 0.005$ per share. This is a clear reminder why we need to use low commission broker if we want to trade with high