Equities mean-reversion works right now. And as part of Building Consistently Profitable Trading Systems it forms a key component. In this article we’ll present the final version of the mean-reversion system to form part of the trading toolbox, and the final portfolio. It’s the Larry Connor’s RSI2 strategy. And it’s based on the two concepts […]

## Equities Mean Reversion and Market Regimes

In this second part of the Mean-Reversion in Equities series we’ll cover the reasons behind why mean reversion works in various market regimes. In the previous article we combined the idea of looking at two consecutive down-days combined with buying the S&P 500 while it was below its five day moving average. A question that […]

## How to Implement Leverage Using Kelly Betting

Over the last four articles people have been writing in, asking, “How do you deduce leverage from your backtests?” “How do you actually implement leverage in your trading?” “How do you calculate position size?” “How often do you rebalance?” So, to keep this series as hands on and close to reality as possible, this article […]

## Equities and Their Mean Reversion Habits

At last! We’ve made it to the mean-reverting part of the series, starting with our focus on equities and their mean-reversion habits. So, here’s the deal. We’re going to keep it simple, just like in the previous three posts, and start from the ground up. Over the following series we’ll culminate in a simple, straightforward […]

## Dangers of Backtesting, Over-Leverage and the Need for a Protective Stop

Backtesting and Over-Leverage are the bane of any systematic trader. A shout out to Peter who raised both these points on the previous article in the series: Trading Numbers So, what are the two issues we’ll address in this week’s article: Look ahead bias, and is it really that bad? Kelly is always touted as […]