Mean reversion · TradersWeek

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Output: Signal
Input: Rule inputs, market state and execution constraints
Horizon: The system holding period
Best use: Make entry, exit and abstention rules testable as one procedure.

Input: Rule inputs, market state and execution constraints.
Output: signal.
Use boundary: Make entry, exit and abstention rules testable as one procedure.

The graph2

How the method is built, and where it has been read

Depends on

Often reviewed together

Trend following5 readings

Often reviewed together

Moving average6 readings

Read in the archive24 of 53 readings

1986A futures fade as one range, order, and secrecy procedureTrend and mean reversion 1992Split-sample floors, ceilings, and standing asideTrend and mean reversion 1992Constructing the mass-index range-reversal procedureIndicators and filters 1992A flat moving average as a range regime switchTrend and mean reversion 1993Switch trend following and mean reversion with an equity-curve filterSystem design 1994Evaluating weekly trend-following and mean-reversion timing rulesTrend and mean reversion 1996Constructing fade rules from an empirical deviation histogramStatistical tests 1996Dual-horizon bands for a precious-metals cash switchEntry and exit rules 1997Constructing a moving regression oscillatorIndicators and filters 1997Regime-dependent long and short rules in mechanical systemsTrend and mean reversion 2001Why trend, range, and Dow rules need separate testsTrend and mean reversion 2002A same-session pair book with a morning-fixed volatility envelopeTrend and mean reversion 2004Failed-breakout overlays on trending marketsTrend and mean reversion 2004Combining noncorrelated trend and reversion systemsPortfolio construction 2004Rank rotation after a path split, then Robustness testingTrend and mean reversion 2004Range-bound tape as a filter for trend and oscillator rulesTrend and mean reversion 2005A moving-average short pullback that is only in scope in a declineTrend and mean reversion 2006Constructing an adaptive price zone from a double-smoothed rangeIndicators and filters 2007Two-period relative strength index versus a one-week universe baselineIndicators and filters 2008Placing early 2008 grain futures on a historical range mapIntermarket and spreads 2008Building ETF mean-reversion entries with a two-bar washoutTrend and mean reversion 2008Rebuild a short-period stochastic as a premier stochastic oscillatorIndicators and filters 2008A three-market regime map for equity bounces and dollar cyclesSeasonality and regimes 2008Evaluating a next-open entry after one-day correctionsEntry and exit rules

This registry entry describes a research method. It is not investment advice and does not make a performance claim.