Back to Quantitative trading

Module 03 · Systematic strategies

Statistical arbitrage and factor models

Mean-reverting pairs trading strategies, volatility-scaled momentum signals, dollar-neutral cross-sectional factors, and Kelly position sizing.

4 lessons · 4 graded exercises·3 hours·intermediate·Prerequisite: Quantitative time series and signals and Event-driven backtesting and execution

Pairs trading and spread execution

25 min · exercise

Convert cointegration z-scores into entry, exit, and stop-loss orders across asset pairs.

Time-series momentum and volatility scaling

20 min · exercise

Build trend-following signals and scale position weights inversely by realized volatility.

Cross-sectional factor ranking and dollar neutrality

25 min · exercise

Rank a multi-asset universe by factor scores and construct dollar-neutral long/short portfolios.

Position sizing and the Kelly criterion

20 min · exercise

Maximize the expected logarithmic growth rate of capital while controlling risk of ruin using fractional Kelly allocations.