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Mean-Reversion and Momentum Regime Switching [Premium Content]

Posted by Price Action Lab Blog on May 11, 2021

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This article includes the full details of a short-term trading strategy with mean-reversion and momentum regime switching. Backtest results for SPY, QQQ, TLT and GLD are included along with comparisons to buy and hold and mean-reversion only performance. Sharpe of the portfolio is greater than 1. Access to article requires premium content subscription . . .

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CFTC RULE 4.41

Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated performance results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Hypothetical trading results are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.

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