This is a summary of links featured on Quantocracy on Wednesday, 11/15/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Weekly Mean Reversion Rotation Strategy on S&P500 Stocks [Alvarez Quant Trading]A reader emailed me about testing a weekly mean reversion rotation strategy on S&P500 stocks. My first thought was, why had I not done this type of test before? The very first strategy that I worked on with Larry Connors was this type of strategy. The strategy I will be testing today is a simpler version and different universe but how well will it hold up? Basic Rules Testing period is from