A Comparison of Short-Term Mean-Reversion Indicators for Global Equities

Abstract

We examine an array of short-term mean-reversion indicators for global equities. The indicators encompass the most widely known price oscillators from the field of technical analysis along with several modified versions first developed by the author in the 2009- 2010 time frame. Constructing simple trading strategies from a wide range of indicator parameters, triggering thresholds, and holding periods, we find the modified oscillators tend to dominate the performance rankings on both the long and short sides of the market. Consequently, this study may serve as a point of reference for day traders, swing traders, or even asset managers looking to better time their rebalances.

Keywords: Equities, mean-reversion, systematic trading, market timing, tactical asset allocation

JEL Classification: G10, G11, G12, G14, G15, G17