Tag Archives: mean reversion

Mean-Reversion Strategy Idle Time Statistics

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.

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Performance Of Premium Signals And Mean-Reversion Strategies

Below are performance results for our Premium Signals and Mean-Reversion strategies.

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Institutional Grade Mean-Reversion Strategy

The strategy trades all Dow30 stocks in short-term mean-reversion mode using as a score a formula from a probability theory textbook.

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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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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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