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Results tagged with mean-reversion
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user 2257
A mean reverting process is a process that, over time, tends to drift toward its long-term mean.
14
votes
2
answers
8k
views
How to build a mean reverting basket?
I have been playing with mean reverting pairs, but seems that most of the low hanging fruit (ie pairs) have been squeezed already. I would like to start with mean reverting baskets (>2 securities) in …
- 1,210
2
votes
1
answer
858
views
Two prices pass the cointegration test but there is a trend. How to check stationarity?
Below is a spread built with two ETFs that pass the cointegration test i.e. Adjusted Dickey Fuller, adfTest(type="nc") in R's fUnitRoots with a p-value < 0.01.
The red line is the trendline.
What te …
- 1,210
3
votes
2
answers
1k
views
Statistical significance of a pair trading strategy
How can I test the significance of a pair trading strategy, i.e. that the H0 is "The strategy has no predicting power".
I was considering to use the technique in Evidence Based Technical Analysis tha …
- 1,210