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Dave Evans

There have been some great posts on short term mean reversion indicators. A recent one here from Market Sci looked at various 2 period indicators, while Trading The Odds looked at a few more under slightly different settings.

In a past post I wondered if you could improve the AMI by using a different MR component. The first task is therefore to findout which MR is best. The guys mentioned above have already done the lions share of the work so hat tip there.

While doing this, I wondered, can you apply a relative strength tracking filter to various systems in a sub category and switch between them depending on progress. You can see the below that different systems responded to the market at different times, switching between them in some way could improve returns – could

Anyhoo, I only got part way through my list, but here's the findings so far for

DV2(a) – Buy/ Sell at close of next day
DV2(b) – Buy sell at close of that day
Ultimate Oscillator

First, here's the results if buying >0.5 and selling <0.5

13-03-2010 04-20-59

 

spy DV2 DV22 UU
CAGR 3.24% 12.70% 14.88% 9.42%
Max DD 56.65% 12.89% 22.08% 27.46%
Return 51.32% 373.37% 506.65% 222.24%

First, here's the results if buying >0.8 and selling <0.2

13-03-2010 04-24-30
 

spy DV(a) DV2(b) UU
CAGR 3.24% 9.18% 12.74% 11.03%
Max DD 56.65% 13.86% 12.70% 15.36%
Return 51.32% 213.07% 375.45% 289.64%

You can hopefully see how the different indicators got there groove on at different times. Even the different DV2 options performed better at different times.

Can you perform a rotation model on systems/ indicators just like you can with momentum stocks? Who knows, I'll try to find out…. Have a good weekend.


One Response to “Best short term indicators”


  1. Thank you very much!
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