mean reversion with enhancements
Im looking for mean reversion opportunities in this stock currently. My SL is bassed on time to profit ratio. i dont use stop losses but will get out if theres a 50% decline. I tested for probalistic monthly sharpe ratio outperformance of the s and p 500.
I tested for monthly normality with the kolmogrov smirnov statistic. and looked for a non-significant p-value in order to signify the distibution fitting
I measured the annual sharpe ratio outperformance. I also measured the uler,calmar,sterling and martin ratio to compare ma drawdown, avg drawdown and loss after previous loss using the ulcer index.
I used the hurst exponent to measure if the return distributions are indeed mean reverting then lastly i created a portfolio based around a basket of qualified stocks and maximized its sharpe ratio.
I tested for monthly normality with the kolmogrov smirnov statistic. and looked for a non-significant p-value in order to signify the distibution fitting
I measured the annual sharpe ratio outperformance. I also measured the uler,calmar,sterling and martin ratio to compare ma drawdown, avg drawdown and loss after previous loss using the ulcer index.
I used the hurst exponent to measure if the return distributions are indeed mean reverting then lastly i created a portfolio based around a basket of qualified stocks and maximized its sharpe ratio.
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