I think Kelly ratio only makes sense when we have a very good strategy that works so well or few strategies work so well. What is the point to...
Very impressive insight. Then which way do you choose to trade and why? For me, I feel statistical arbitrage requires accurate math and total...
May be you are right and I think this can be only known if you are in traders industry in ibanks/banks. I think the disadvantage of stat arb...
Thanks for sharing with insight. If normal distribution is not the best, then do you think we should use another kind of distribution or theory?
May be I am wrong but for me market wizard is a big book of marketing. The book itself helps the author to make money, and all those famous...
This case can be not apple/orange case if statistical arbitrage can provide a better winning chance and margin in general.
Do you agree with statistical arbitrage is better than momentum like trend? May be you have no clue and I am fine with this.
seem like almost no one uses statistical arbitrage over here so no one replies.
My last post using Ernie Chan terms in the topic making it so confusing so I want to make this new post to talk about what I really mean. Ernie...
I don't know how to correctly backtest arbitrage strategy. Chan mentioned like 6 math formula in his new book but there are no very default...
I know this and I am one of the an active persons in his blog comments. If I ask a question like this in his blog, he would definitely just say...
I am talking about the book "Algorithmic Trading: Winning Strategies and Their Rationale" by Ernie Chan. His "Mean-reverting" should be arbitrage...
I am reading a book and the author claims that mean-reverting strategies are much better than momentum strategies. Do you think so and why?
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