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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

Volatility adjusted mean reversion trading strategies

We explored mean reversion trading strategies in great detail in Chapter 4, Classical Trading Strategies Driven by Human Intuition. For the purposes of this chapter, we will first create a very simple variant of a mean reversion strategy and then show how one would apply volatility adjustment to the strategy to optimize and stabilize its risk-adjusted returns.

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Publisher Resources

ISBN: 9781789348347Supplemental Content