I accidentally down voted but meant to up vote. I agree.
Also, this appears to have no risk-oriented portfolio construction. You are calculating alphas somewhere, right?
(not to belittle this or anything. I'm just not a big believer in technical analysis, which is what this feels like. You should apply this kind of focus to real stat arb.)
Also, this appears to have no risk-oriented portfolio construction. You are calculating alphas somewhere, right?
(not to belittle this or anything. I'm just not a big believer in technical analysis, which is what this feels like. You should apply this kind of focus to real stat arb.)