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Changing a mean reversion strategy to deliver 30% annual returns since 1999
Changing a mean reversion strategy to deliver 30% annual returns since 1999
In his 2008 book " Short Term Trading Strategies That Work," Larry Connors argues that the 2-period RSI might be the Holy Grail of indicators. We begin by looking at what would have happened if we had bought all events when the 2-day RSI closed below 5 and held the position for 5 days, for every stock since 1998(listed and delisted): This topic is more advanced, but I believe feeding mean reversion signals to a simple ML model and training it to predict the probability of a stock to mean-revert in the near future might work.
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