November 2019
Beginner
394 pages
10h 31m
English
Content preview from Learn Algorithmic Trading
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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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