Tag Archives: mean reversion

Market Making and Mean Reversion research paper PDF

Market Making and Mean Reversion research paper PDF

This came in from my Telegram private group

https://www.cis.upenn.edu/~mkearns/papers/marketmaking.pdf

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What is statistical mean reversion arbitrage

What is statistical mean reversion arbitrage

Classic reseasrch paper for those newbie automated traders out there

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2478345

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What is mean reversion statistical arbitrage?

What is mean reversion statistical arbitrage?

Mathematical approach to explain this

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2478345

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Research paper on mean reversion and optimization

Research paper on mean reversion and optimization

This is a good one for all those newbies on this Dr Ernie Chan classic trading strategy

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2478345

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Why Ernie Chan and Trading System and Methods book is best for mean reversion in Matlab

Why Ernie Chan and Trading System and Methods book is best for mean reversion in Matlab

Refer to my other link

https://quantlabs.net/blog/2014/04/ernie-chan-and-trading-systems-and-methords-books-are-best-resources-to-learn-mean-reversion-quant-strategies-with-matlab/

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

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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For Python user: Backtesting An Intraday Mean Reversion Pairs Strategy Between SPY And IWM

An interesting discussion of development IDEs for Python resulted here.

In Python: Backtesting An Intraday Mean Reversion Pairs Strategy Between SPY And IWM – See more at: https://quantlabs.net/blog/2014/02/in-python-backtesting-an-intraday-mean-reversion-pairs-strategy-between-spy-and-iwm/#sthash.3tKiMKPE.dpuf

It resulted in this:

An interesting take on Matlab vs Python with Entropy foe a quant research trading model or algo –
See more at: https://quantlabs.net/blog/2014/02/an-interesting-take-on-matlab-vs-python-with-entropy-foe-a-quant-research-trading-model-or-algo/#sthash.A8aMzhLY.dpuf

Rithmic could be an interesting second data provider to watch with no latency:

Is Rithmic R|Trader Pro new excel function better than IQFeed with better latency being on the CME?
– See more at: https://quantlabs.net/blog/2014/02/is-rithmic-rtrader-pro-new-excel-function-better-than-iqfeed-with-better-latency-being-on-the-cme/#sthash.ZnPmqeQM.dpuf

When we will these little greedy children learn?

STUPID Hedge fund analyst caught with stealing secret trading algorithms
– See more at: https://quantlabs.net/blog/2014/02/stupid-hedge-fund-analyst-caught-with-stealing-secret-trading-algorithms/#sthash.ylpD89WF.dpuf

It’s on! I am finally testing this new SQL Server to see if there is any HFT potential with it:

My results of testing SQL Server 2014 with OLTP in memory Hekaton data with millions of records for potential HFT
– See more at: https://quantlabs.net/blog/2014/02/my-results-of-testing-sql-server-2014-with-oltp-in-memory-hekaton-data-with-millions-of-records-for-potential-hft/#sthash.onBIzlU2.dpuf

I will be posting my results and source in the quant elite section.

Learn how to be one here.

Bryan

P.S. Be on the look out for a last minute online Meetup to showcase some of my findings.

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In Python: Backtesting An Intraday Mean Reversion Pairs Strategy Between SPY And IWM

From the NYC Contact so thanks to him:

Backtesting An Intraday Mean Reversion Pairs Strategy Between SPY And IWM

http://www.quantstart.com/articles/Backtesting-An-Intraday-Mean-Reversion-Pairs-Strategy-Between-SPY-And-IWM

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Ernie Chan ETF mean reversion strategy with Matlab into my live trading DotNet C# system with Interactive Brokers TWS?

Ernie Chan ETF mean reversion strategy with Matlab into my live trading DotNet C# system with Interactive Brokers TWS?

I am trying this as I type. I will let you know what I think via a Youtube video.

Get ready to see how do this with a potential quant trading business. Get my FREE newsletter on how to accomplish this 

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Matlab Builder NE Mean Reversion trading algorithm with DotNet and Interactive Brokers real time data and trading market execution coming soon

Matlab Builder NE Mean Reversion trading algorithm with DotNet and Interactive Brokers real time data and trading market execution coming soon
Here is what I am working on right now!
The Matlab Builder NE toolbox is proving to potentially be a  good addition to this upcoming automatic trading system. The performance has been decent against all the simulated tick data from Interactive Brokers.  I can still keep the IQFeed as well. Also, I am still working on the pricing end for my mean reversion algorithm test which came from a Mathworks webinar so it should be good to go. Everything is working and I will definite show a preview video. A detailed video with SOURCE will be available for my QuantLabs.net Premium  Members. I will also be part of this workshop in the works for this same Member. As usual, it is exciting days ahead.

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