2011: Algo trading that changed the market

Stocks
1 min readDec 29, 2019

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Found an interesting observation while backtesting NIFTY stocks for mean reversion, backtest works exceptionally till 2011 November after which algorithms took over Indian market and return curve is pretty much flat. There was so much statistical arbitrage before that.

The purple line is index and green and blue are variations of a mean reversion strategy giving exponential returns till 2011

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Stocks

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