Archive for the ‘State of Short-term MR’ Category
It’s been a while since I issued one of these health checks of short-term mean-reversion (MR). Warning: things are about to get a little wonky. For the uninitiated, since the turn of the century, short-term MR (i.e. the market’s tendency to reverse its recent course) has been the play du jour for swing traders (think [...]
Filed under: State of Short-term MR | 11 Comments
This is a roundup of our recent posts talking about the state of short-term mean-reversion (ex. RSI(2), DV(2), etc.) in today’s market. I realize that these posts were wonkier than most I pen, but I appreciate the opportunity to flesh out my thinking. Trading with short-term indicators like RSI(2) has been low hanging fruit for most of the [...]
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This is the last post in this series on short-term mean-reversion (MR). Here I want to understand whether the failure of short-term MR over the last 1+ year is par for the course or whether there’s a fundamental shift in the markets underfoot. This post will start mid-thought, so be sure you’ve first read Ramblings [...]
Filed under: State of Short-term MR | 6 Comments
Warning: EXTREME geekiness ahead. Be sure that you’ve read our last post Ramblings on the State of Short-Term Mean-Reversion as a primer. Recall this graph of a simple strategy trading the S&P 500 from 2000 to now: go long at the close if the S&P 500 closes down and short if it closes up. [logarithmically-scaled, growth of [...]
Filed under: State of Short-term MR | 9 Comments
Long-time readers have seen this graph before… [logarithmically-scaled, growth of $10,000] This is the result of trading a simple strategy from 1930 in an imaginary world of no transaction costs: go long at today’s close if the S&P 500 closes down or short if it closes up (rinse and repeat tomorrow). I would never recommend [...]
Filed under: State of Short-term MR | 24 Comments
