[blackcat] L2 Ehlers Pairs Rotation

2022년 6월 17일

Level 2

Background

John Ehlers’ articles in the July issues on 2022,“Pairs Rotation With Ehlers Loops, Part 2”

Function

In part 1 of his article in the June 2022 issue (“Ehlers Loops”), John Ehlers uses a relationship of price and volume to determine if any predictive value can be obtained. His technique, called Ehlers Loops, aid in visualizing the performance of one datastream against another. In part 2 appearing in this issue (“Pairs Rotation With Ehlers Loops”), the author demonstrates Ehlers Loops in action with a pairs trading example. This pairs rotation strategy is aimed at minimizing drawdown while simultaneously maximizing return on capital.

Remarks

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