This is a summary of links featured on Quantocracy on Thursday, 09/23/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
New Site! Trailing Stops in Various AutoCorrelation and Volatility Regimes [Derek Wong]Abstract: I examine trailing stops in real markets and various autocorrelation and volatility regimes using synthetic data. Exits are notoriously under-studied and may be a source of edge. I examine three key hypotheses using my take on Tom Bassos random entry method to remove entry from the equation. Disclaimer: Not financial advice, only my own opinions. This is not to encourage nor promote