[LEONARDZIR]

Nick,
This is an interesting message from your traderfriend who works for a hedge fund, namely traditional long momentum is not working for them this year. My mean reversion has stopped working as well and I received a message from Cesar Alvarez that his long mean reversion isn’t working.
The big question is have these strategies become to popular and the edge is gone?

[LEONARDZIR]

October 2019

US MR not trading
US MOC stopped trading
US momo +0.88%
Nicks’s TLT 3.69%

[LEONARDZIR]

Craig,
Very helpful. I was never able to generate the equity ticker using the cbt templates.

[LEONARDZIR]

Dustin,
I am not using Amibroker to track the equity curve. I am using a different software that is not commercially available as yet.

[LEONARDZIR]

Tim,
I have mentioned in prior posts that I stopped trading my MR systems when their equity curves fell below their 200ma. Saved me a lot of money so far. I continue to follow the equity curve and will trade again when they cross above their ma. I am also testing other systems but nothing very good so far.

[LEONARDZIR]

Nick,
Agree. Very difficult to make money with MR and MOC. I keep thinking about a comment Caesar made to me that he thought the edge for MR was narrowing over the last several years.

[LEONARDZIR]

Trent,
Very kind of you to do the testing. It does confirm to me that mean reversion is not working this year in the US.

[LEONARDZIR]

Trent,
Outstanding results!
Could you run your system on the Russell 1000? My mean reversion systems in the US are not working this year. Can’t tell if the market has changed or it’s a problem with my systems. I am particularly interested in your results for 2018 and 2019.
Thanks

[LEONARDZIR]

September, 2019

MOC -2.5% now shut off
MR shut off
US momo -1.1%

I use a 200ma of the equity curves of my mean reversion. MOC and MR shut off. MR having the biggest drawdown in my historical testing but I am not along for the ride.

[LEONARDZIR]

Julian,
Interesting article. Meanwhile I do a 200ma on the equity curve of my US mean reversion. It has been below its 200ma so I am not trading it at the moment. My MOC really hasn’t made much this year..
It is also worth noting that most momentum systems that have filters are significantly trailing the SPY in the US. It still remains to be seen if the long history of outperformance of momentum versus value will persist ,
I had new equity highs in my investment accounts last month primarily from holding SPY this year in one of my CXO value/momentum portfolios.

[LEONARDZIR]

One of the things I am watching is whether the selling in momentum and buying of value stocks in the US market is a one off or the start of a new trend.

[LEONARDZIR]

Misery loves company.

[LEONARDZIR]

Glen,
Mean reversion not working for me in the US market.
Alvarez commented to me that he thought mean reversion was losing it’s edge in the US markets.

[LEONARDZIR]

Huge 2 day loss in momentum stocks in the US markets. Big loss in my momentum systems.
Not fun.

[LEONARDZIR]

Tim,
I do a 200ma of my MR equity curve. I stop trading when the equity curve is below its 200ma

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