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Z-Score Algorithm

Was just messing around with some z score stuff and got this so I thought I'd share

5 responses

Respective Tear Sheet Below

Optimize Version Below. Algorithm Rationale is honestly a mess so only use code as a loose template. Rationale is loosely founded at best.

@Blue Seahawk lol you're the reason I'll never type fast again

An effort to capture pnl peaks visible in the custom chart.
There must be a better way and maybe this could help find it. TMV is hitting 10M and SPY over 1M.

Hi Mustafa,
The performance looks good, also going into 2020. My question is what is your rationale for including SPY and TMV (which is a leveraged Treasury ETF with neg. duration of approx. 60years, ie. correlation will be positive to stocks, right?), as well as the logic for the weighting.
You go long in the asset with the lower zscore, i.e. it is not a momentum based strategy?
Thanks for your insights.