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Jurassic


Total Posts: 4
Joined: Mar 2018
 
Posted: 2018-04-03 23:26
Has anyone tried a pure mean reversion statistical arbitrage strategy on GDX-GLD? (using a linear regression like the standard avellenada etf type version but with one factor). It seems to have either gone down or at best is flatish over the last few years, hence it seems to have died.

Do you think my results are ok, or does anyone have any thoughts on this?
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