The Bull Bear Bitcoin Set has been running live at TokenSets since January 16, 2020. After 4 re-balances there is a clearer picture of the slippage expected, which is in the 0.6% – 0.8% area. This slippage is expected to fall in 0.3-0.5% range once more resources are brought in. Until then and based on …
backtesting
Better than mean-reversion? An Adaptive Multi-Strategy System
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
