Tag Archives: mean reversion
Discretionary trading is hard and this is one reason it is being abandoned and replaced by systematic trading. Below is just an example of a trade from last week.
Why trading is hard and why mean-reversion has outperformed the golden cross signal in SPY in the last year and a half.
The PSI5 mean-reversion strategy has outperformed the buy and hold performance of SPY total return since the bottom of the financial crisis on a risk-adjusted basis.
The institutional grade mean-reversion strategy trades the S&P 100 stocks in short-term long-only mode. Backtests show that the strategy has had robust performance, especially during major stock market corrections and it has outperformed the S&P 500 total return by a … Continue reading
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.