While doing research on a mean reversion strategy, I was really happy with the Compounded Annual Returns (CAR) of 51%. I was thinking, I may have a new strategy to add to my stable of trading of trading strategies. A big fact I liked was the strategy used no market regime filter.
Then I looked at the yearly returns. The 2020 return through July 31 as 444%! How much did the CAR depend on this year’s numbers?
No spreadsheet for this post.
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