Subject: New blog post on Alvarez Quant Trading for 9/30/2020

Read the new post on Alvarez Quant Trading, Using strength to exit a mean reversion trade.

I had a long-time reader, Cristian Franchi, send me a mean-reversion strategy that he wanted me to test and write about.  What caught my attention was the rules differing from what I typically see and use. Different ways of measuring strength of a sell-off and volatility expansion. Along with a different type of exit being used on a mean reversion strategy. Not simply waiting for the bounce.


Click here for the spreadsheet.


Good Quant Trading,
Cesar

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