Tag Archives: mean reversion
This is a summary of Price Action Lab Blog strategy performance in 2017.
By exiting trades at the close that triggers a signal instead of the open of the next day, the annualized return of the MR5 mean-reversion strategy increases by 300 basis points with a simultaneous increase in win rate and decrease … Continue reading
This article includes a review of the Momersion anomaly and stocks that exhibit high tendency of mean-reversion to the upside. For access to premium content, you must be a subscriber. Please login if you are already a subscriber or subscribe to … Continue reading
The MR5 mean-reversion strategy is based on a formula from a graduate text on probability theory. Despite the low volatility and sluggish performance of most mean-reversion strategies in 2017, returns were 10.3% for SPY and 33.7% for UPRO.
This week was very good for weekly mean-reversion signals in DJIA stocks. Below are some details.
Is BTFD a meme for bears in an attempt to explain how the market is manipulated higher by central banks? Or is it something more fundamental?