@ Alan -
Glad to hear someone is getting some R&R in the sun. Lots of snow and cold here.
You seem to be looking at a 4-day window of minutely prices,
and smoothing out the weights given from the optimization in 30 min increments...right?
That's the basic idea. Rather than using a fixed window, one can use an expanding window, and take a weighted average.
My question is why did you chose the time-scale you did?
Determined by just fiddling with the algo, trying different windows.
Instead of minutely data, you could use daily data(i.e. look for mean reversion over a 3-6-12 monthly period.
Easy enough to try, but my hunch is that it is a relatively short-term effect.
The alphalens thingy might work here. Supposedly, it will work with any inputs; they don't have to be daily returns from pipeline.
it would be nice to have some theory that sez that works
Yes, I'm not sure how to do that. I'm not sure one will find a "theory" as much as more detailed empirical evidence of what's going on.