End-to-end process on how I developed a mean reversion strategy, and thought process behind it
how many days are you using for vol weighting each symbol?
Good transfer of knowledge from equity (the book) to FX. Have you tried “mean reversion relative to group”?
That is the textbook signal in mid freq equity; ie the alpha score shall be difference between instrument value and group mean
Thanks. Mean reversion relative to group is approximately equivalent to the cross-sectional approach I did above I think.
Makes sense!
Banger
how many days are you using for vol weighting each symbol?
Good transfer of knowledge from equity (the book) to FX. Have you tried “mean reversion relative to group”?
That is the textbook signal in mid freq equity; ie the alpha score shall be difference between instrument value and group mean
Thanks. Mean reversion relative to group is approximately equivalent to the cross-sectional approach I did above I think.
Makes sense!
Banger