Funky flat basket strategy - depends on consistent oscillation

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Funky flat basket strategy - depends on consistent oscillation

edited Jul 5, 2014

5 responses

Nice idea Anony, and the Sarpe index of 1.18 is truly remarcable!
I'd like to know how did you proceed to identify the basket of securities that result in a stationary group price... did you use some specific algorithm? or just by try and error ?

Simon Thornington

http://www.di.ens.fr/~aspremon/PDF/MeanRevVec.pdf
http://www.di.ens.fr/~aspremon/PDF/Embarcadero.pdf

For some ideas.

Thanks to both of you for the answers... the documents form Simon are really challenging... for the moment (next 10-20 years) I think I'll go with the approach from Anony...
Thanks again.

This is kinda interesting:

http://www.bespokeinvest.com/thinkbig/2014/4/28/2014-shifts-in-sp-500-sector-weightings.html

Around 2000, it appears that money shifted toward technology and telecom, at the expense of other sectors. And then we all know what happened... Perhaps the same kind of mean reversion happens, except on a shorter time scale?

Simon Thornington

I believe this is the rationale behind "equal weighting" indexes and ETFs, like RSP.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.