You're reading from Algorithmic Short Selling with Python

Product typeBook

Published inSep 2021

PublisherPackt

ISBN-139781801815192

Edition1st Edition

Concepts

Financial Technology

Author (1)

Laurent Bernut

Blending trading styles

As we discovered in Chapter 6, The Trading Edge is a Number, and Here is the Formula, mean reversion strategies have a negative skew. A few titanic losses will sink the ship. Trend following strategies have a positive skew. A few princes will make up for all the frogs. Both strategies have good and bad attributes that can be summarized in the following table:

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Algorithmic Short Selling with Python

Published in: Sep 2021Publisher: PacktISBN-13: 9781801815192

Author (1)

Laurent Bernut

Laurent Bernut has 2 decades of experience in alternative investment space. After the US CPA, he compiled financial statements in Japanese and English for a Tokyo Stock Exchange-listed corporation. After serving as an analyst in two Tokyo-based hedge funds, he joined Fidelity Investments Japan as a dedicated quantitative short-seller. Laurent has built numerous portfolio management systems and developed several quantitative models across various platforms. He currently writes and runs algorithmic strategies and is an undisputed authority on short selling on Quora, where he was nominated top writer for 2017, 2018, and 2019.
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	Mean Reversion	Trend Following	Hybrid
Win Rate	High	Low	High
Volatility	Low	High	Low

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