This is a summary of links featured on Quantocracy on Wednesday, 09/30/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Using strength to exit a mean reversion trade [Alvarez Quant Trading]I had a long-time reader, Cristian Franchi, send me a mean-reversion strategy that he wanted me to test and write about. What caught my attention was the rules differing from what I typically see and use. Different ways of measuring strength of a sell-off and volatility expansion. Along with a different type of exit being used on a mean reversion strategy. Not simply waiting for the bounce. Rules