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

https://www.quantopian.com/posts/intelligent-gearing

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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