This is a summary of links featured on Quantocracy on Wednesday, 06/07/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Efficiency Ratio and Mean Reversion [Alvarez Quant Trading]While reading the January 2023 issue of Technical Analysis of Stocks & Commodities, I came across an article about Efficiency Ratio (ER) by Perry Kaufman. In the article, he discusses using ER to decide when to trade mean reversion strategy vs a trend following one. My curiosity on this was could I use the ER to filter trades in my mean reversion strategies. Efficiency Ratio ER is calculated