This is a summary of links featured on Quantocracy on Wednesday, 08/25/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mean Reversion Entry: At Open vs. Intraday Pullback vs Confirmation [Alvarez Quant Trading]For the mean reversion strategies that I have created in the past and are trading now, they typically enter at the next days open or wait for a further pullback intraday before entering. My current mean reversion strategy, which enters on a limit down, was doing great until a few months ago when the performance started to slip. Looking at the missed trades and the trades taken, it seemed like
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The Value Premium Might be Smaller Than We Originally Thought [Alpha Architect]Remember HML? It was the original formulation for estimating the value premium published by Fama & French in 1992. In that seminal article, FF argued based on the results they obtained, that the risk of owning equity is multidimensional. One of those dimensions of risk they used was financial distress proxied by the BE/ME ratio 1, which itself was originally based on the distress factor