How do macroeconomic events potentially disrupt mean reversion patterns? How can you backtest a mean reversion trading strategy?

Nov 21, 2024 ... The stimulus measures already appear to be having one positive side effect: valuations in most Asian equity markets have shifted into healthier territory. The distinction between the theoretical concept of mean reversion, denoted in the paper by γ and its estimator, Bγ, is now made clear. Some important ... Jul 25, 2016 ... Because the firm sees markets through this mean-reversion lens, GMO tracks how bubbles are forming and the risks if they burst. The firm's ... Mar 19, 2025 ... We concluded that the popular evidence for mean reversion is an “optical illusion” that employs hindsight. We used the Yearbook's global dataset ... Feb 3, 2017 ... Mean reversion models have been developed to capture the historical data rather than to reflect critical aspects of financial and economic ... Aug 11, 2014 ... We discuss in detail how to do mean-reversion based on this approach, including common pitfalls encountered in practical applications, such as ... Mar 25, 2011 ... A mean-reverting financial instrument is optimally traded by buying it when it is sufficiently below the estimated mean level and selling it when it is above. Feb 28, 2025 ... The MSCI Four Asian Dragons Select Mean Reversion Index aims to represent the performance of a strategy which, on a daily basis, ... Dec 16, 2023 ... At its core, mean reversion suggests that when a financial instrument experiences a substantial deviation from its historical mean, it is likely ... Equity indices exhibit mean reversion in daily returns. A simple and powerful way to capture this effect is the Internal Bar Strength technical indicator, which ...