Tag Archives: mean reversion
Equity indexes have risen for eight years after the bottom of the financial crisis on March 6, 2009, without a bear market. Due to this it has been difficult for market timers to beat buy and hold returns. In this … Continue reading
Our MR1 mean-reversion strategy shows an annualized return in excess of 20% at -34% drawdown since 2015, which is reasonable for a speculative asset of this kind. Momentum has increased recently but we expect a return to mean-reversion soon.
The recent stock market volatility crash has affected trading strategy idle time, or the time associated with waiting for trading signals. We show that despite low volatility recent idle times of our four mean-reversion strategies are within normal bounds.
Below are performance results for our Premium Signals and Mean-Reversion strategies.
The strategy trades all Dow30 stocks in short-term mean-reversion mode using as a score a formula from a probability theory textbook.
Extreme conditions have developed in SPY ETF price action. For access to premium content, you must be a subscriber. Please login if you are already a subscriber or subscribe to continue reading…