A Regime Switching Model: Momentum vs Mean Reversion

Today I wanted to share a link to my first post on Quantopian, in which I describe a strategy that uses social data to switch between mean reversion and momentum based trading regimes.

This feat is accomplished using a new social factor I’ve created. I believe this strategy presents a novel approach to regime switching. This strat represents a departure from my HFT roots, as the rebalance period is 24 hours. I think I could get used to that kind of leisurely pace, however, especially with returns like these…

Mean Reversion and Momentum Switching Model


That being said there are probably loads of improvements, such as an adaptive social threshold and a better weighting scheme. But for a toy model I think its fairly expressive at showing how you might get started.

equity curve

Right now the strategy trades a universe of 50 Equity ETF’s, but it could probably be expanded to more. I want to extend this to trade Long/Short individual equities too. If you have any questions, please feel free to comment here or using the post, directly if you have a Quantopian account.

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