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Adjustments made to cloned 'Statistical Arbitrage' algorithm

Hi All,
I'd appreciate your feedback on some adjustments made to this cloned algorithm here.
Thanks in advance.
Cheers - Pete

2 responses

Hey Peter, can you discuss a bit your thought process for the extensions you made to the algorithm?

Hi Ryan,
I wanted to minimise drawdown levels from the original algorithm's backtest, and thought if I extended mean reversion levels, it would help.. or so I thought it would!
The actual levels chosen were more by trial and error, than by design.
Cheers - Pete