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

36 Pages Posted: 27 Jan 2023 Last revised: 5 Mar 2024

See all articles by Raymond Micaletti

Raymond Micaletti

Relative Sentiment Technologies, LLC

Date Written: January 27, 2023

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

Suggested Citation

Micaletti, Raymond, A Comparison of Short-Term Mean-Reversion Indicators for Global Equities (January 27, 2023). Available at SSRN: https://ssrn.com/abstract=4339128 or http://dx.doi.org/10.2139/ssrn.4339128

Raymond Micaletti (Contact Author)

Relative Sentiment Technologies, LLC ( email )

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