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Algorithmic Short Selling with Python

You're reading from Algorithmic Short Selling with Python Refine your algorithmic trading edge, consistently generate investment ideas, and build a robust long/short product

Product type Paperback

Published in Sep 2021

Publisher Packt

ISBN-13 9781801815192

Length 376 pages

Edition 1st Edition

Languages

Python

Concepts

Financial Technology

Author (1):

Laurent Bernut

View More author details

Table of Contents (17) Chapters

Preface

The Stock Market Game

10 Classic Myths About Short Selling FREE CHAPTER

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

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:

...

	Mean Reversion	Trend Following	Hybrid
Win Rate	High	Low	High
Volatility	Low	High	Low

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Authors (1)

Laurent Bernut

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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