Tag Archives: strategy code with Ernie Chan

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

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

View at Medium.com

More

View at Medium.com

Complete pairs trading example

View at Medium.com

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