Hello!
I wanted to hear some feedback on this version of the sample mean reversion algorithm.
I noticed after backtesting a year back it was beating the market, and then as I tested further back it continued to show positive returns.
It wouldn't let me test all the way back to 2002 for some reason and gave me an error.
The only thing I changed is to short the 15% best gainers and go long on only the 5% worst.
Thoughts, improvements, or suggestions?
Here's a longer backtest. Most of the action is due to the Great Recession. So, if you can predict the next Great Recession, then you could fire up this algo and make a bundle. Otherwise, it is not so clear what the outcome would be if you were to launch the algo today.
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