Example URL links of long term mean reverting strategy code with Ernie Chan

(Last Updated On: May 30, 2019)
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Notes on Ernie Chan lomg term vs short term coding

cointegration diverges between pairs over long term while co-relation comove in same direction
cointegration is long term and about price
correlation is short term and about returns
basic mean reversion strategy bollinger bands -> enter into position only when price deviates by more than a std deviation and exit when price reverts
consider commission fees to stay profitable

More helpful links while researching



Machine learning in trading: Predicting multiple trade outcomes using a linear regression model

FX-Trader Magazine Article: Function based trailing stop mechanisms






very useful


Lots of Python code examples


Half life test mentioned in Ernie Chan’s video above

View at Medium.com


View at Medium.com

Complete pairs trading example

View at Medium.com

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
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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