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Better System Trader

Better System Trader

Better System Trader is the podcast and blog dedicated to systematic traders, providing practical tips from trading experts around the world.

133 – Building Mean Reversion trading strategies with Cesar Alvarez – Part 3

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And we’re back for the final episode in this 3-part series on building Mean Reversion strategies with Cesar Alvarez from Alvarez Quant Trading.

In the 1st episode we discussed the goal of Mean Reversion trading, how to select a trading universe, a number of effective techniques to measuring Mean Reversion and how to combine indicators to identify better quality trades.

In the 2nd episode we discussed market classification, trade ranking, exits, order types, position sizing, risk control and much more.

In this 3rd and final episode, Cesar answers all your questions, covering a wide range of topics, including:

  • Mean Reversion in markets outside of Stocks,
  • Controlling risk during market sell-offs, gaps and being overweight in particular sectors,
  • Performance of Large caps vs Small caps,
  • Ranking Mean Reversion setups,
  • Shorting strategies,
  • Readjusting strategy parameters and measuring robustness,
  • Balancing Mean Reversion in a portfolio of other trading styles,
  • Tail risk, leverage, options, performance monitoring and so much more!

Resources

  • You can learn more from Cesar at alvarezquanttrading.com
  • Books mentioned in the show:

 

Get the Transcript

Episode Released:

12 November 2017

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  1. Quantocracy's Daily Wrap for 11/13/2017 | Quantocracy says:
    November 14, 2017 at 4:17 pm

    […] Podcast: Building Mean Reversion trading strategies with @AlvarezQuant – Part 3 [Better System… […]

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