STDEV retracements with enhancements
מעודכן
Im looking for mean reversion opportunities in this stock currently. My SL is bassed on time to profit ratio. i dont use stop losses but will get out if theres a 50% decline. I tested for probalistic monthly sharpe ratio outperformance of the s and p 500.
I tested for monthly normality with the kolmogrov smirnov statistic. and looked for a non-significant p-value in order to signify the distibution fitting
I measured the annual sharpe ratio outperformance. I also measured the uler,calmar,sterling and martin ratio to compare ma drawdown, avg drawdown and loss after previous loss using the ulcer index.
I used the hurst exponent to measure if the return distributions are indeed mean reverting then lastly i created a portfolio based around a basket of qualified stocks and maximized its sharpe ratio.
I tested for monthly normality with the kolmogrov smirnov statistic. and looked for a non-significant p-value in order to signify the distibution fitting
I measured the annual sharpe ratio outperformance. I also measured the uler,calmar,sterling and martin ratio to compare ma drawdown, avg drawdown and loss after previous loss using the ulcer index.
I used the hurst exponent to measure if the return distributions are indeed mean reverting then lastly i created a portfolio based around a basket of qualified stocks and maximized its sharpe ratio.
הערה
Take profit was hit. Get out
כתב ויתור
המידע והפרסומים אינם אמורים להיות, ואינם מהווים, עצות פיננסיות, השקעות, מסחר או סוגים אחרים של עצות או המלצות שסופקו או מאושרים על ידי TradingView. קרא עוד בתנאים וההגבלות.