Subject: Did you read this past Alvarez Quant Trading blog post?

Revisiting old research can spark new research or trading ideas. Read this old post, Weekly Mean Reversion Rotation Strategy on S&P500 Stocks.

A reader emailed me about testing a weekly mean reversion rotation strategy on S&P500 stocks. My first thought was, why had I not done this type of test before? The very first strategy that I worked on with Larry Connors was this type of strategy. The strategy I will be testing today is a simpler version and different universe but how well will it hold up?

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Good Quant Trading,
Cesar


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