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, N-Day exits with Mean Reversion.

My last post on using PercentRank to measure mean reversion proved very popular. A reader looked at the trades and wondered if it would be best to exit after five days because the average trade with longer holds was a loser. I am surprised I have not covered this topic before.

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Good Quant Trading,
Cesar


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