fin
Unverified ML strategy on Multi by vsmolyakov. BotFinder score 18 out of 100.
finance
Source: github
BotFinder analysis pending.
fin
fin Algorithmic Trading Description Pairs Trading Strategy A pairs trading strategy consists of identifying similar pairs of stocks and taking a linear combination of their price so that the result is a stationary time series. We can then compute z-scores for the stationary signal and trade on the spread assuming mean reversion: short the top asset and long the bottom asset. The figure above shows spread z-scores for Coke and Pepsi stocks. When the z-score is outside the +/- 1 band, we bet it's going to mean revert. So we long the bottom asset when the zscore is less than -1 and we short the top asset when the zscore is greater than 1. And we clear positions inside the band. References: https://www.quantopian.com/lectures Long Short Strategy A long short strategy consists of selecting a universe of equities or futures and ranking them according to a combined alpha factor. Given the rankings, we long the top percentile and short the bottom percentile of securities once every re-balancing period. The figure above shows the top minus the bottom quantile 1 day forward return based on com
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