stationary != mean reverting add hurst exponent
add speed of reversion
OLS vs total least squares regression??
Backtest ile evaluation
Equity curve + dağılımlara göre sektör seç
Fonksiyonlara böl
LM spread bul
beta bul
hedge ratio if we purchase 1,000 shares of Coke, how many shares of Pepsico do we need to sell in order to remain dollar neutral? The answer is 1000/β.
Backtester??
Risk metric Sharpe ratio
1. How is position sizing a function of the risk-profile of the strategy?
2. How are signals a function of the strategy?
. Is there forward-looking bias, and if so, how can we address this?
4. Have transaction fees been taken into account?
5. Is the spread something that is tradable?
6. Do price difference versus return betas make sense?