Tag Archives: mean reversion
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?
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