This is a summary of links featured on Quantocracy on Wednesday, 09/29/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Multi-day Limits for Mean Reversion [Alvarez Quant Trading]A reader recently suggested leaving the limit orders for a mean reversion trade on for a couple of days. Typically, these orders are good only for one day unless the stock sets up again. I did not think that this would help but as I always tell my consulting clients when they ask me if an idea will work or not, I am always surprised but what works and what doesnt, so I test everything and
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Introduction to Clustering Methods In Portfolio Management Part 3 [Quantpedia]This is the third and final article from the clustering series. If youve missed the previous parts, here you can find the first and second parts of the series. This section examines trading strategies based on previously introduced clustering methods. The complete Portfolio Clustering report will be available for our Quantpedia Pro clients next week. Cluster Risk Parity Strategies In one of the