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adaptive

Mon AMMI

January 5, 2013 by sanz prophet 6 Comments

No, it’s not french and it’s not the movie.It’s a fast-N-rough “Adaptive Multi strategy Multi Instrument” model. Let’s assume we want to trade mean-reversion: If price moves down we buy, if it moves up we sell. Possible Indicators from the blog-o-sphere:RSI(2),RSI(3),RSI(4)DV2 here and hereBSI here or hereBoilingerBandsCRSI hereTD9 here Question 1: Which Indicator to use? One …

Read moreMon AMMI

Filed Under: adaptive, Amibroker, mean reversion, strategy, strategy development

Better than mean-reversion? An Adaptive Multi-Strategy System

November 2, 2012 by sanz prophet 9 Comments

Mean reversion strategies have been very popular since 2009. They have performed exceptionally well for the past 10 years, performing well even during the 2008-09 bear market. Different versions have been popularized, notably by Larry Connors and Cezar Alvarez (previous post) as well as many others in the blog-o-spere such as David Varadi of CSS analytics (DV2) and Michael Stokes @ MarketSci. …

Read moreBetter than mean-reversion? An Adaptive Multi-Strategy System

Filed Under: adaptive, backtesting, SPY, strategy development

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