This is the tear sheet for the strategy described in the following link:
https://www.quantopian.com/posts/statistical-arbitrage-based-on-divergence
This is the tear sheet for the strategy described in the following link:
https://www.quantopian.com/posts/statistical-arbitrage-based-on-divergence
As the algo holding the same position : AMZN(+6051), ADBE(-10000) since 2008-01-03.
Where these exposures came from?
Exposures Summary Average Risk Factor Exposure Annualized Return Cumulative Return
momentum 0.38 -2.54% -20.64%
value -0.6 -0.46% -4.09%
short_term_reversal -0.1 0.52% 4.80%
volatility 0.11 -0.46% -4.09%
Can somebody explain?