Mher Vartanian
October 02, 2016
Mher Vartanian @ Branch 22 Capital LLC.
Branch22.com

MEAN REVERSION

In this weekly update, we will be working on the analysis, development and programming of a quantitative model based on Standard deviation, volatility and probability of prices.

First, In statistics, the standard deviation (SD, also represented by the Greek letter sigma σ or the Latin letter s) is a measure that is used to quantify the amount of variation or dispersion of a set of data values; A low standard deviation indicates that the data points tend to be close to the mean (also called the expected value) of the set, while a high standard deviation indicates that the data points are spread out over a wider range of values. Please read the PDF for the full Document.


CAO Juan Pablo Villada Arango
MEAN REVERSION
In this weekly update, we will be working on the analysis, development and
programming of a quantitative model based on Standard deviation, volatility and
probability of prices.
First,
In
statistics
, the
standard deviation
(
SD
, also represented by the Greek letter
sigma
σ
or the Latin letter
s
) is a measure that is used to quantify the amount of variation
or
dispersion
of a set of data values;
A low standard deviation indicates that the data
points tend to be close to the
mean
(also called the expected value) of the set, while a
high standard deviation indicates that the data points are spread out over a wider range of
values.
VariancePS = 0 ;
Divisor = Iff( DataType = 1, Length, Length - 1 ) ;
if Divisor > 0 then
begin
Mean = Average( Price, Length ) ;
SumSqr = 0 ;
for Value1 = 0 to Length - 1
begin
SumSqr = SumSqr + Square( Price[Value1] - Mean ) ;
end ;
VariancePS = SumSqr / Divisor ;
end ;
Value1 = VariancePS( Price, Length, DataType ) ;
if Value1 > 0 then
StandardDev = SquareRoot( Value1 )
else
StandardDev = 0 ;
Based on the mean we start to make calculations where we can statistically take trades
with a percent success of more than 50%.
Let’s take a snapshot of the indicator and strategy
Finally, by applying code and a tough money management to the strategy, we can develop
entries and exits based on these patterns found by our analysis. Here’s a quick
performance screenshot:
!
If you would like to learn more about this strategy or other far more complex and
robust strategies, please feel free to visit our website or get in touch using the
information provided below.
www.branch22.com
trading@branch22.com
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