Tag Archives: mean reverting

Complete videos with detail analysis of mean reversion or mean reverting trends for market forecasting strategy or trading model

Hi there
Interested in learning about one of those most popular methods in forecasting markets?
Here is a more detailed set of R scripts with source code walkthrough demo
1. Backtesting a set of strategies
2. Jeff Augen example of volatility-spikes
3. Mean Reversion with Volatility spikes
4. Euler- demo with  Ornstein Uhlenbeck process which is a low level mean reversion
If you are interested in seeing this, please join my membership to get immediate access.

–> Get access here <–

Got questions or comments,

Let me know
Bryan

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!

Youtube video on my demo of mean reversion or mean reverting using r with backtesting example

Youtube video on my demo of mean reversion or mean reverting  using r with backtesting example

This is for my Premium Membership but get your access now to this by going here.

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!

R script: Complete videos with detail analysis of mean reversion or mean reverting trends for market forecasting strategy or trading model

R script: Complete videos with detail analysis of mean reversion or mean reverting trends for market forecasting strategy or trading model

Here is a more detailed set of R scripts with source code walkthrough demo

1. Backtesting a set of strategies
2. Jeff Augen example of volatility-spikes
3. Mean Reversion with Volatility spikes
4. Euler- demo with  Ornstein Uhlenbeck process which is a low level mean reversion

These will be posted fo Premium Mermbers so you can get your access now. Also, expect a webinar to come on this soon too.

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!

Question: How to find pairs by scanning the thousands of stocks and find the ones with mean reverting, cointegrated, and correlated

Question: How to find pairs by scanning the thousands of stocks and find the ones with mean reverting, cointegrated, and correlated ?

From a reader:

Do you show how to find pairs by scanning the thousands of stocks and find the ones with mean reverting, cointegrated, and correlated ?

I say:

Just go to quantcode.com. I have seen some projects that do this.

Update!
I now have a Premium Member posting for this to scan the S&P for anything that is cointegrated? There is other demos to show what is mean reverting and correlated. It is done in R and much easier than what I have seen in Quantcode.com 
Hope this helps.
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!

I am been working on various mean reverting or “inside tunnel” trading model for recent low vol market

I am been working on various mean reverting or “inside tunnel” trading model for recent low vol market, however, none of them work nicely, any fresh idea to brain storm for discuss?

Take a look at thishttp://en.wikipedia.org/wiki/Ornstein%E2%80%93Uhlenbeck_process .

Hope it helps.

Bests.
—-
-i guess esp in mean reverting in low vol it wont work and voltility is diff to gauge
mean reverting desnt work in low volatility as we take fixed period means and as day passes by we add new day price and take out the 1st price —–so it wont work in case of low volatility
—–
Take a look at Perry Kaufman’s new book “Alpha Trading”.
Is anyone else aware of any other text ( or academic paper ) about mean reverting strategies ?

before proceeding with the discussion/advice could you please give us a hint about the instruments and timeframes/resolution/scale you’re attempting to trade?
well, since they did not work I was thinking you could tell us what you were doing, what mean reverting strategies you were using.
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This may be obvious, but for a mean reverting trading strategy to work, the market must first tend to mean revert, meaning in the data you should see negative serial correlation of returns, or non parametrically, divergence of price from some MA must be predictive of a higher probability of a move towards the mean than a similar sized move away from it. Is the issue with the data or the implementation?
—–
In my amateur opinion, I believe several factors contribute to the success or failure of any trading strategy, especially in a low volume environment. Factors such as AUM, execution platforms and strategy correlation between firms (herd mentality) contribute to trading performance more than most traders would like to admit. You may have a successful strategy, but problems or constraints in another area may be adversely affecting your performance. I suggest you evaluate your entire trading environment as part of your brainstorming session.

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!

Quant analytics:I am been working on various mean reverting or “inside tunnel” trading model for recent low vol market

I am been working on various mean reverting or “inside tunnel” trading model for recent low vol market, however, none of them work nicely, any fresh idea to brain storm for discuss?


Take a look at thishttp://en.wikipedia.org/wiki/Ornstein%E2%80%93Uhlenbeck_process .

Hope it helps.

i guess esp in mean reverting in low vol it wont work and voltility is diff to gauge
mean reverting desnt work in low volatility as we take fixed period means and as day passes by we add new day price and take out the 1st price —–so it wont work in case of low volatility

—-

Take a look at Perry Kaufman’s new book “Alpha Trading”.
Is anyone else aware of any other text ( or academic paper ) about mean reverting strategies ?

Before proceeding with the discussion/advice could you please give us a hint about the instruments and timeframes/resolution/scale you’re attempting to trade?

1

 

 

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!