Subject: Did you read this past Alvarez Quant Trading blog post?

Revisiting old research can spark new research or trading ideas. Read this old post, Using recent returns for Mean Reversion.

In most of my mean reversion posts, I use RSI(2) to determine if a stock has sold off. In this post, I will explore how to use a stock’s recent return to determine if it has sold off. This will be done in way to normalize the return between low and high volatile stocks. This basic strategy has only two setup rules.

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Good Quant Trading,
Cesar


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