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It is possible to profit from longs during downturns.

A crude mean reversion strategy which "percent ranks" the rolling 2 day Rate Of Change (ROC) and only buys when the rank is in the lowest decile (i.e. buy when the 2 day ROC is in the 10% of lowest readings for last 252 days) and holds cash when above had decent returns from a few selective trades on indices (basically buying on the steepest down days and exiting within ~5 days) during the GFC.

2007-07-02 till 2009-03-12

ASX:STW
[code]
daily.returns
Annualized Return 0.0739
Annualized Std Dev 0.1555
Annualized Sharpe (Rf=0%) 0.4754
[/code]

NYSE:SPY
[code]
daily.returns
Annualized Return 0.1731
Annualized Std Dev 0.2080
Annualized Sharpe (Rf=0%) 0.8325
[/code]

This is without any position sizing or stops. You can also improve this strategy by using limit orders at the daily lows and raising the threshold for moving to cash, but I just wanted to demonstrate it's possible to harvest mean reversion longs during protracted bears.

<blockquote data-quote="sinner" data-source="post: 873153" data-attributes="member: 21771">It is possible to profit from longs during downturns.A crude mean reversion strategy which &quot;percent ranks&quot; the rolling 2 day Rate Of Change (ROC) and only buys when the rank is in the lowest decile (i.e. buy when the 2 day ROC is in the 10% of lowest readings for last 252 days) and holds cash when above had decent returns from a few selective trades on indices (basically buying on the steepest down days and exiting within ~5 days) during the GFC.2007-07-02 till 2009-03-12ASX:STW[code]&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; daily.returnsAnnualized Return&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 0.0739Annualized Std Dev&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;&nbsp; 0.1555Annualized Sharpe (Rf=0%)&nbsp; &nbsp; &nbsp; &nbsp; 0.4754[/code]NYSE:SPY[code]&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; daily.returnsAnnualized Return&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; 0.1731Annualized Std Dev&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;&nbsp; 0.2080Annualized Sharpe (Rf=0%)&nbsp; &nbsp; &nbsp; &nbsp; 0.8325[/code]This is without any position sizing or stops. You can also improve this strategy by using limit orders at the daily lows and raising the threshold for moving to cash, but I just wanted to demonstrate it&#039;s possible to harvest mean reversion longs during protracted bears.</blockquote>

[QUOTE="sinner, post: 873153, member: 21771"] [COLOR="#0000CD"] It is possible to profit from longs during downturns. A crude mean reversion strategy which "percent ranks" the rolling 2 day Rate Of Change (ROC) and only buys when the rank is in the lowest decile (i.e. buy when the 2 day ROC is in the 10% of lowest readings for last 252 days) and holds cash when above had decent returns from a few selective trades on indices (basically buying on the steepest down days and exiting within ~5 days) during the GFC. 2007-07-02 till 2009-03-12 ASX:STW [code] daily.returns Annualized Return 0.0739 Annualized Std Dev 0.1555 Annualized Sharpe (Rf=0%) 0.4754 [/code] NYSE:SPY [code] daily.returns Annualized Return 0.1731 Annualized Std Dev 0.2080 Annualized Sharpe (Rf=0%) 0.8325 [/code] This is without any position sizing or stops. You can also improve this strategy by using limit orders at the daily lows and raising the threshold for moving to cash, but I just wanted to demonstrate it's possible to harvest mean reversion longs during protracted bears.[/color] [/QUOTE]

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