Ernie Chan and Trading Systems and Methords books are best resources to learn mean reversion quant strategies with Matlab

(Last Updated On: April 15, 2014)

Ernie Chan and Trading Systems and Methords books are best resources to learn mean reversion quant strategies with Matlab

I am looking mean reversion strategies and see how it can be applied within Matlab for my basic system. Learn more here on the components.
I have come to the conclusion that:

1. Ernie Chan’s set of books are excellent set of resources for this. They also include Matlab source code which covers a lot of scenarios.

2 PJ Kaufman’s book on Trading System and Methods has lots of example of mean reversion strategies.

I think these are adequate resource to implement into this system. I will post some videos on these so stay tuned
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Some sample source and spreadsheets from Trading System and Methods: 

full
spreadsheet, TSM Commodity Channel Index HPQ

NOTES:
Mean-Reverting Indicator
Use the ARIMA confi dence bands to determine overbought/oversold levels

…..along with a single 0.20 smoothing, a double smoothing, and a single error correction.
The error correction positions the trendline in the middle of the price move and may be
a good candidate for mean reversion trading….
spreadsheet TSM Comparison of exponentials MSFT


*******
A mean-reverting (fading) strategy can be created by trading when the excess kurtosis
crosses above zero, indicating an excessive move, then trading the opposite way
indicated by the skew. Volatility will also be important. The rules for mean reverting are:
• Buy when the excess kurtosis crosses above 0, skew < 0, and volatility > minimum level.
• Sell when excess kurtosis crosses below 0, skew > 0, and volatility > minimum level.
*******
program TSM Kurtosis and TSM Skewness

program TSM VIX Connors

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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs