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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Differentiating the measures of risk

Let's explore different measures of risk. We will use the trading performance from the volatility adjusted mean reversion strategy we saw in Chapter 5, Sophisticated Algorithmic Strategies, as an example of a trading strategy in which we wish to understand the risks behind and quantify and calibrate them.

In Chapter 5, Sophisticated Algorithmic Trading Strategies, we built the Mean Reversion, Volatility Adjusted Mean Reversion, Trend Following, and Volatility Adjusted Trend Following strategies. During the analysis of their performance, we wrote the results into the corresponding CSV files. These can also be found in this book's GitHub repository, https://github.com/PacktPublishing/Learn-Algorithmic-Trading---Fundamentals-of-Algorithmic-Trading ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content