Notes
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
http://epchan.blogspot.com/2016/04/mean-reversion-momentum-and-volatility.html
https://www.forexfactory.com/showthread.php?t=262827
Machine learning in trading: Predicting multiple trade outcomes using a linear regression model
FX-Trader Magazine Article: Function based trailing stop mechanisms
http://adrianboeing.blogspot.com/2010/03/alpha-beta-filters.html
https://robotwealth.com/demystifying-the-hurst-exponent-part-1/
https://robotwealth.com/demystifying-the-hurst-exponent-part-2/
http://www.jurikres.com/catalog1/ms_cfb.htm#top
https://www.researchgate.net/publication/266672524_Can_we_predict_the_unpredictable
very useful
https://dailypriceaction.com/free-forex-trading-lessons/mean-reversion-guide-to-market-timing/
Lots of Python code examples
https://www.datacamp.com/community/tutorials/finance-python-trading
Half life test mentioned in Ernie Chan’s video above
More
Complete pairs trading example
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!