An extract from my book, Quantitative Research and Trading, to be published in 2017.

Home Posts Tagged "XOM"

JonathanCointegration, Correlation, Dickey-Fuller, Pairs Trading, Phillips-Perron, Spread Trading, Statistical ArbitrageCointegration, CVX, Dickey-Fuller, Oil Stocks, Pairs Trading, Phillips-Perron, Statistical Arbitrage, XOM

An extract from my book, Quantitative Research and Trading, to be published in 2017.

JonathanInternal Bar Strength, Mean Reversion, Mean Reversion Strategies, Random Walk, Unit Root Tests, Variance Ratio Tests1 commentAutocorrelations, Box-Pierce Test, Dickey-Fuller, Internal Bar Strength, Ljung-Box Test, Mean Reversion, Phillips-Perron test, Stationarity, Unit Root Test, Variance Ratio Test, XOM

For those who prefer a little more rigor in their quantitative research, I can offer more a somewhat more substantive statistical argument in favor of the IBS indicator discussed in my previous post. Specifically, we can show quite convincingly that the IBS process is stationary, a highly desirable property much sought-after in, for example, the construction…

JonathanETFs, Index Trading, Mean Reversion Strategies, Monte Carlo, S&P500 Index, Swing Trading, Technical Analysis3 commentsIBS, Index ETFs, Internal Bar Strength, Monte Carlo, QQQ, SPY, Swing Trading, XOM

Internal Bar Strength (IBS) is an idea that has been around for some time. IBS is based on the position of the day’s close in relation to the day’s range: it takes a value of 0 if the closing price is the lowest price of the day, and 1 if the closing price is the highest…

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