New answers tagged mean-reversion
2
I sent Ernie an email with a link to this question and here is his response:
Yes, I agree with you that the strategy there actually is a momentum
strategy, not a mean reversion strategy. In other words, if zScore <
0, we actually expect $\gamma$ to decrease further! The momentum
strategy backtested is profitable.
I will note this in the 2nd edition of ...
Top 50 recent answers are included
