Tag Archives: mean reversion

Extreme Conditions in Price Action [Premium Articles]

Extreme conditions have developed in SPY ETF price action. This is premium content. Please login or subscribe¬†to continue reading…

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Trading Multiple Strategies: Mean-Reversion Example

There are many different ways to trade multiple strategies depending on risk/reward objectives and markets considered. In this article we consider a specific example of four mean-reversion strategies that trade SPY and two alternatives schemes.

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Simple Explanation For Stock Market Rally

There is a simple explanation for the rally in stocks this year. Explanatory hypotheses are valid if they generate testable predictions. This one does unlike a number of suggested alternative hypotheses that are not falsifiable.

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Dow Jones Industrial Average Longest Overbought Period In 31 Years

The Dow Jones Industrial Average has stayed overbought for 21 days, which is the longest period this technical condition has persisted in 31 years. As the analysis below shows, the index has moved higher in the following 60 days with … Continue reading

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Is The Stock Market Manipulated? Does It Matter?

The S&P 500 is gaining more than 8.5% on a total return basis year-to-date, yet this performance was achieved amid adverse developments and extreme mean-reversion in price action. These facts could compel someone to abduct the hypothesis that the market … Continue reading

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Mean Reversion Is Your Friend

The popular rule “the trend is your friend” worked well in the past but during this year it has been challenged by erratic price action and swings. This could be a temporary phenomenon and momentum traders are not ready to … Continue reading

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Significant Year-To-Date Mean-Reversion Performance

Our proprietary PSI mean-reversion long-only strategy is up 15.5% year-to-date with 5% maximum drawdown and 92.3% win rate. P-value is 0.0369 when the strategy performance is compared to that of random long-only traders.

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Profiting From Random Strategies

The bulk of trading strategies are random because they are either overfitted to noise or are the result of selection bias. However, there are ways of even profiting from random strategies. In this article I outline the general idea and … Continue reading

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