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Tag Archives: mean reversion
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. This is premium content. Please login or subscribe to continue reading…
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.
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
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