Quantitativo
@quantitativo1
Developing quantitative trading strategies and sharing learnings along the way at https://t.co/KnRvdJMWDi
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I'm testing the TPS strategy from the "Buy the Fear, Sell the Greed" book T: Time P: Price S: Scale-In TPS identifies when an ETF is oversold and averages into the position as...
"Trust, but verify." This Russian proverb is especially useful in quant finance. In "Short-Term Trading Strategies That Work," Larry Connors argues that Cumulative RSIs are a bet...
A 2.11 Sharpe mean-reversion strategy: - More than 3x the return of S&P 500 and ~1.5x Nasdaq-100 since 1999 - 20% max drawdown vs. 57% S&P 500 and 83% Nasdaq-100 - 16 trades/yea...