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Howard Bandy
Testing the mean-reversion z-score system
AT-November 2007-1
Putting a short-term "mean-reversion" system through its paces highlights the importance of conducting a rigorous, objective test before you risk real money.
Price: $4.25

Detailed Description

The following discussion illustrates how to design and test a "mean-reversion" system, which is a strategy that enters trades by determining when price is at an extreme and is likely to return to its average value. The system is based on the "z-score," which represents the number of standard deviations by which each data point in a dataset differs from the mean.
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