UPDATE: read The IBS Eﬀect: Mean Reversion in Equity ETFs instead of this post, it features more recent data and deeper analysis. The location of the closing price within the day’s range is a surprisingly powerful predictor of next-day returns for…
- Over 10% difference between futures and spot BTC, pretty crazy. Is the issue that nobody wants to short the futures… https://t.co/m3PdE853TI
- Some Questions for Crypto-Exchanges https://t.co/ZkSHi1h7Nu
- Other than the price source, are there any significant differences between the CME and CBOE BTC futures?
- RT @VixCentral: Excellent strarting place for the discussion regarding Bitcoin futures. I find @IBKR more convincing because the fu… https://t.co/zG1KkNBZPG
alpha curves C# CAC40 DAX FTSE100 candlestick patterns cross validation CRTDR data mining DOTM DTW Dynamic Time Warping equal risk contribution ETN GTAA HangSeng IBS effect K Nearest Neighbor machine learning mean reversion minimum correlation minimum volatility momentum MultiCharts .NET NASDAQ100 new highs new lows Nikkei225 PCA portfolio optimization position sizing QQQ relative strength risk parity Russell2000 S&P500 seasonality SPY STI swing trend following UDIDSRI VIX VIXY VXV WVF XIV