Picking Up Relative Return in Volatile Times

Mar 27, 2020 in mean reversion

Related But Different ETFs:

 

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New Mean Reversion Backtest

Mar 03, 2020 in mean reversion

We have introduced a new backtest for subscribers that is focused on short term mean reversion. It is intended to be used with highly related securities, which are unlikely to drift part for very long before coming back together. Consequently, when one of the securities underperforms by a non-insignificant margin, an opportunity occurs.

The backtest works by comparing the difference in the x-day Total Return between the securities / ETFs.  When that x-day return difference is more than y standard deviations below the mean, the backtest will buy Security 1. It will then hold that security until it reaches z standard deviations above the mean, when it will be sold in favor of Security 2.

Suitable for non-taxable accounts only, the idea is that these short-term trades among correlated assets can be used to materially enhance the returns through compounding without a material difference in the underlying beta exposure.

 

Go to Total Return Difference - Mean Reversion Backtest

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Layering 2 ETF Backtest Strategies For Enhancing Return

Dec 16, 2019 in mean reversion | Regime Change | Video

Layering 2 strategies on top of each other for better return -- and importantly this can improve the consistency on a year-to-year basis. The mean reversion strategies tend to add more return when things are volatile -- but less relative to the benchmark when the market is rising on low volatility. That said, low volatility uptrends are often an excellent environment for absolute gains anyway and you will naturally participate in such a market because mean-reversion has zero market timing associated with it. That is, sometimes you will just track rather than outperform a low-volatility uptrend.... and that is a good thing.

 

 

 

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Buying Wholesale -- Trading Concepts Quantified With ETF Backtesting

Nov 04, 2019 in Video | mean reversion

A video to demonstrate mean-regression on ETFreplay.com and some concepts on trading -- for example, many small gains cumulatively add up over time when you buy at wholesale and sell at retail prices.

 

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ETF Mean Regression and ETF portfolio backtesting

Aug 27, 2019 in Backtest | mean reversion | Video

A video to demonstrate mean-regression on ETFreplay.com and some concepts related specifically to ETF mean-regression.

 

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