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2010-01-01 · This paper implements a trading strategy combining mean reversion and reversion and momentum trading strategies in foreign exchange markets}

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Combining mean reversion and momentum trading strategies in foreign exchange markets

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2019-02-19 · Mean reversion is a financial theory suggesting that asset prices and returns eventually return back to the long-run mean strategies from stock trading

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Mean-reversion vs. Momentum Strategies. Much discussion and debate has been made for and against two trading strategies, namely: mean-reversion and momentum

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Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets Alina F. Serban* Department of Economics, West Virginia University

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2016-04-07 · That's where we should switch from momentum to mean reversion strategies. You should use the volatility for the time scale of your trading strategy

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Learn from quant trading experts how to combine mean reversion and momentum trading strategies in foreign exchange markets to get the most out of from your trades.

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The first function takes two arguments: When all the expected returns in the rank array are positive we only go long the pair with the highest expected return.