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Market Mean Reversion (ft. a 20 Sharpe Strategy?)
By Student  •  January 30, 2011
Picking up from where I left off on my previous post on this topic, I have completed the backtesting of the Andy Lo strategy on survivorship-bias-free data collected right from the most direct source possible. I will let the results speak for themselves: We see a Sharpe Ratio of ~7. This is pretty good, but [...]...
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By Student
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