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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

Creating a trading strategy that works for markets with reversion behavior

After the momentum strategy, we will now look at another very popular type of strategy, the mean reversion strategy. The underlying precept is that prices revert toward the mean. Extreme events are followed by more normal events. We will find a time where a value such as the price or the return is very different from the past values. Once established, we will place an order by forecasting that this value will come back to the mean.

Reversion strategy uses the belief that the trend of quantity will eventually reverse. This is the opposite of the previous strategy. If a stock return increases too fast, it will eventually return to its average. Reversion strategies assume ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content