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2015-03-27 · Discusses ways to combine momentum and mean reversion strategies. Long-term losers tend to have positive HML slopes and higher future average returns.

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2017-11-24 · CHAPTER 5 Mean Reversion of Currencies and Futures Conventional wisdom tells us that currencies and futures are the domain of momentum traders, and

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We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices.

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Trading VIX Futures under Mean Reversion with Regime Switching Jiao Liy June 11, 2016 Abstract This paper studies the optimal VIX futures trading problems under a

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2016-02-02 · Downloadable (with restrictions)! We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean

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2015-07-18 · An Introduction To Mean Reversion Trading And it looks like the mean reversion strategy works like a charm and price always Trading Futures,

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2011-03-11 · Do you think that it is possible to find good mean reverting strategies in futures I believe your strategy is a fairly classical mean reversion

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2015-01-14 · In last night’s Swing Trader’s Insight I wrote that we should look for a “mean reversion day” in the EMini S&P futures. Here’s how I traded this

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2016-09-02 · We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices.

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2017-11-22 · Momentum and Mean Reversion in Futures Prices. Momentum Strategies in Commodity Futures Markets. Momentum and Mean-Reversion in Commodity Spot and

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2010-09-27 · Mean reverting strategies are beating on mean reversion of the prices. There are various flavors of mean reverting strategies, but as a proxy I chose RSI(2).