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mean reversion algorithm - recently IPO'd companies

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2 responses

not bad, but very volatile. Youre alpha is great but the beta is expandable. Great Job at all

I assume you'd manually trade this.
First I filtered out stocks that you wouldn't be able to trade. I compared several brokerages and couldn't trade on the symbols that contain "_' for instance. That model had high returns still. Then I modeled trading the signal next morning, like you would actually do, presumably. Attached backtest show these two changes. Big alpha decay on day late signal!