While reading the January 2023 issue of Technical Analysis of Stocks & Commodities, I came across an article about Efficiency Ratio (ER) by Perry Kaufman. In the article, he discusses using ER to decide when to trade mean reversion strategy vs a trend following one.
My curiosity on this was could I use the ER to filter trades in my mean reversion strategies.
Continue reading
|
|
Good Quant Trading,
Cesar
Join my private trading club, The Crew.
Gain access to strategies, trading education and more. Free 1 week trial.
|
|
|
