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Algorithmic Short Selling with Python

You're reading from  Algorithmic Short Selling with Python

Product type Book
Published in Sep 2021
Publisher Packt
ISBN-13 9781801815192
Pages 376 pages
Edition 1st Edition
Languages
Author (1):
Laurent Bernut Laurent Bernut
Profile icon Laurent Bernut

Table of Contents (17) Chapters

Preface The Stock Market Game 10 Classic Myths About Short Selling Take a Walk on the Wild Short Side Long/Short Methodologies: Absolute and Relative Regime Definition The Trading Edge is a Number, and Here is the Formula Improve Your Trading Edge Position Sizing: Money is Made in the Money Management Module Risk is a Number Refining the Investment Universe The Long/Short Toolbox Signals and Execution Portfolio Management System Other Books You May Enjoy
Index
Appendix: Stock Screening

Summary

We have examined a few regime methodologies that will help you pick up on signals that a market is going up or down. Regime breakouts and moving average crossovers are staples in the arsenal of trend-following traders. Duration is as much a function of style as what the market happens to reward. Then, we introduced the floor/ceiling methodology. This regime definition method works on absolute and relative series. It is symmetrical and above all more stable than any other methodology. It therefore supersedes everything else.

However, regime definition methodologies are not mutually exclusive. For example, the floor/ceiling method could be used to determine the direction of trades, long or short. Then, regime breakout could be used to enter after consolidation or sideways markets. Finally, the moving average crossover could be used to exit positions.

Having a signal is one thing. Turning it into a profitable strategy with a robust statistical edge is another. There is...

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