Strategy
Mean Reversion
Buys short, sharp pullbacks inside long-term uptrends.
EXPERIMENTAL
Methodology
- Method
- 5-day reversal and RSI(2) pullbacks, only above the 200-day average.
- Data
- Daily bars
- Horizon
- ~1 week
- Strategy pod
- mr
Risk caveat
High turnover makes it very sensitive to trading costs.
Validation evidence
Fails our cost-stress test; kept experimental.
Simulated, survivorship-biased backtests on today's large caps. Hypothetical; not a forecast. Disclosures.