A spread trading strategy checks a running estimate of the displacement between two related instruments, and makes bets that this displacement will decline whenever it gets large. Here, we define that displacement in terms of recent returns between SVOL volatility ETF and of a pair of ETFs
JackMansfield2019/Spread-Trading
A spread trading strategy checks a running estimate of the displacement between two related instruments, and makes bets that this displacement will decline whenever it gets large. Here, we define that displacement in terms of recent returns between SVOL volatility ETF and of a pair of ETFs
Jupyter NotebookMIT