Wednesday, November 18, 2015

Momentum Versus Mean Reversion..Part 2...11.18.15

Here's a slightly different spin on the MN versus MR theme, this time avoiding the volatility ETNs XIV and VXX.  Surprisingly perhaps but both models do a good job of staying ahead of SPY in risk/reward with similar returns, linearity and maximum drawdowns.
I'm going to make this pair of models available for purchase to readers with an integrated  real time data feed right after Thanksgiving....kind of a Black Friday Special.