the quoted conditions is called volatility ratio. VR>1.0 is trending, VR=1.0 is random walk/Brownian, VR<1.0 is mean-reverting. Commonly used in...
Here's a free sample for everyone to fork/extend: https://github.com/jamesmawm/High-Frequency-Trading-Model-with-IB That said, I am looking for...
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