Normal
The returns on short term mean reversion shorts during periods spiking volatility are much much better (i.e short 90% decile) and broader (i.e. short 50% decile) but I think it's important to know that long alpha does exist (even if only briefly) in bear markets.Here is a two part post on a much more refined version which is obviously curve fit but demonstrates how you can explore the parameters (you can adopt an adaptive algorithm to vote on the parameters in real use instead of hardcoded parameters).https://engineeringreturns.wordpress.com/2010/07/13/tsi_rsi_system_parti/https://engineeringreturns.wordpress.com/2010/07/14/tsi_rsi_system_partii/
The returns on short term mean reversion shorts during periods spiking volatility are much much better (i.e short 90% decile) and broader (i.e. short 50% decile) but I think it's important to know that long alpha does exist (even if only briefly) in bear markets.
Here is a two part post on a much more refined version which is obviously curve fit but demonstrates how you can explore the parameters (you can adopt an adaptive algorithm to vote on the parameters in real use instead of hardcoded parameters).
https://engineeringreturns.wordpress.com/2010/07/13/tsi_rsi_system_parti/
https://engineeringreturns.wordpress.com/2010/07/14/tsi_rsi_system_partii/
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