BacktestingFXRTime series modellingTrading strategiesZorro
Trading FX using Autoregressive Models
I’m a big fan of Ernie Chan’s quant trading books: Quantitative Trading, Algorithmic Trading, and Machine Trading. There are some
mean reversion
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Quant trading
Demystifying the Hurst Exponent – Part 2
What if you had a tool that could help you decide when to apply mean reversion strategies and when to
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Quant trading
Hurst Exponent for Algorithmic Trading
This is the first post in a two-part series about the Hurst Exponent. Tom and I worked on this series
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BacktestingCointegrationFXQuant tradingRTrading booksTrading strategiesZorro
Exploring Mean Reversion and Cointegration: Part 2
In the first Mean Reversion and Cointegration post, I explored mean reversion of individual financial time series using techniques such
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CointegrationFXQuant tradingRTrading booksZorro
Exploring mean reversion and cointegration with Zorro and R: part 1
This series of posts is inspired by several chapters from Ernie Chan’s highly recommended book Algorithmic Trading. The book follows Ernie’s