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Investment Thesis
Mean reversion is a financial theory suggesting that asset prices and historical returns revert to their long-term average levels, implying periods of above-average returns are likely followed by below-average returns, and vice versa.
This strategy is a mean reversion trading algorithm focusing on daily trading strategies for top U.S. equities with the highest market capitalization. The algorithm exploits significant overnight price movements by shorting stocks with substantial overnight gains the following trading day, assuming they will revert toward their mean prices.
Implementation involves storing previous close prices, calculating overnight changes, identifying top movers, and executing trades by liquidating existing positions and opening short positions for identified stocks. This systematic approach leverages historical price data to generate returns through price reversion, with potential future enhancements like incorporating volatility and trading volume to refine the selection criteria and improve performance.
Quant League Competitions
Competition entry updated by VATSAL NARULA
Narendra Kulkarni
this strategy looses so much money over a longer term.
Jared Broad
@Narendra strategies should be rotated in and out with the current market regime. Trying to find a single alpha that lasts forever is unlikely. The successful large funds have millions of alphas they rotate in and out according to current market conditions.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Quant League Competitions
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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