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Mean Reversion Trading System "Practical Methods for Swing Trading"

Mean Reversion Trading System "Practical Methods for Swing Trading"

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  • ISBN:9780979183843
  • Editorial: Blue Owl Press
  • Fecha de la edición:
  • Encuadernación:
  • Nº Pág.:240
  • Idiomas:Ingles,Inglés

Materias:

"The book is an extension of Quantitative Trading Systems and its sequel, Modeling Trading System Performance. The series deals with the importance of timing in stock trades, and in particular with the tendency of prices to fall back to their historical norm despite fluctuations in the market. The focus of this book is systems that enter when price is overextended -- far from the recent mean -- anticipating that price will revert to the mean, with holding periods of a few days. [Dr. Bandy's] analysis of trading frequency and holding period concludes, after research and mathematical modeling using the Amibroker program, that the sweet spot for holding period is one to two days, and it is desirable to trade frequently. This book discusses systems that closely fit those sweet spots."

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