The performance profile of Mean Reversion is extremely desirable to a lot of traders.
Mean reversion trading strategies can produce high win rates and a smooth equity curve, however there are risks, which can result in giving back a large portion of profits, or of your trading account, some times in a very short period of time.
So what can you do to build mean reversion strategies that produce consistent profits while managing risk effectively?
Todays guest, PJ Sutherland, is here to share the knowledge he has gained from years of research and trading mean reversion strategies, and as you’re going to hear, he has some really interesting insights to share with us.
PJ has extensive experience in the development and deployment of quantified trading systems and has been active in the market for the past decade.
He is the founder and director of Alpha Investment Advisors, providing research to hedge funds and prop trading firms, and the founder of the website Quantlab.co.za for private traders.
In our chat today, you will learn:
- The key drivers of short-term returns in mean reversion trading
- The impact of market environments on mean reversion strategies and how to detect and adjust strategies to varying market conditions
- Should you ‘Catch a falling knife’ or wait for confirmation? How to determine which entry technique is best for you
- Building a portfolio of strategies using parameter ranges across the mean reversion curve
- Simple but powerful techniques to managing risk in mean reversion strategies
Thanks to our sponsor – Alvarez Quant Trading
For beginner and intermediate courses on AmiBroker & Backtesting, check out Alvarez Quant Trading today.
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Resources mentioned in this episode
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13 November 2016