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Checkout the post “comparing Portfolio performance” on Investingforaliving.us. Shows the performance of many popular TAA and buy and hold portfolios.

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Nick,
Great results. Said as well.
I wonder if we could poll all the members in the forum who used mean reversion in the US last year to find out how many people were profitable and what percent did they achieved?

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Daniel,
The other explanation is that mean reversion in stocks in the US has been losing its edge for the past several years and your testing reflects that.
I suppose it is possible to trade mean reversion if you develop a system that uses variables nobody else has thought of.
It says something when Trent’s highly sucessful mean reversion in the ASX falls apart in the US.

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Daniel,
Didn’t post the equity curve just correcting the post.

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equity curve of my systems.

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Daniel,
You have raised an extremely important question. How do you know your system is broken? I am trading an equity curve of my stems but that really isn’t an answer. Would love to see a discussion of the topic and particularly get Nick’s thoughts.

[LEONARDZIR]

Very impressive MOC numbers!

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Nick, Not an easy answer. Since November my equity curve is in a trading range. The backtested results do show a number of several month periods where the systems back and fill. So in that respect there is nothing unusual going on. I will start trading the systems again tomorrow and give it some time.

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Nick,
Outstanding results. I am still not there with my mean reversion and MOC. Have great Backtested results but no significant profits as yet.

[LEONARDZIR]

Had some real issues generating profits with my US MR and MOC. Stopped trading using MA of my equity curve.
Hooked up with a trader who trades for a living and adopted his strategies.Backtesting looks awesome but So far no exciting profits. Most of his strategies are mean reversion but some shortterm trend.
Joined a beta site of Alvarez. Did learn that he has been having difficulties generating profits with mean reversion in US.
Interesting that Nick had great profits in US with his HFT mean reversion and he is increasing his allocation

[LEONARDZIR]

December 2019

Nasdaq aggressive 6.7%

I strayed this year from chartist territory.
I have all my investments in 5 systems.Here are the systems and annual returns

Nasdaq aggressive 19.7%
US MOMO (etf) 5.1%
CXO value 31.2%
Novell Diversfied ETF 16.54%
Novell 60/40 SHYIEF 23%
SHY = shareholder yield
AS

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Matt,
I am curious. Are you running a hedge fund. 40,000 shares of a 20 dollar stock is 800k per stock position in an MOC system. Maybe I misinterpreted your message.
Len

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Julian,
I couldn’t get any MOC or MR system to make any good profits this year. I heard speculation that the hedge funds have been playing in the 3-5 day return playground for years and their trading has taken away the edges for mean reversion. For example RSI(2) and Connors(RSI) don’t seem to work in realtime.
As far as missing fills I noticed that with some of the low liquidity stocks I trade ,when you put your limit order in the market sometimes somebody will front run your order knowing your buy order is in there as a backstop.Other missed fills occur when your limit order is the low of the day.
Also there doesn’t seem to be a lot of money chasing stocks under 20 bucks in the R3000
Be interested to see how you fare.

[LEONARDZIR]

Nov 2019

Short term trading US – 1.79%
Nasdaq Aggressive + 1.9%

Trading poor results this year. However all investments at new equity highs for the year primarily because of 50/50 mix of CXO advisory value/momentum portfolio (+15.9%) so farthis year. I am adding adding a value portfolio this month.

[LEONARDZIR]

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