Some readers accept doubts near my assertion that mean-reversal models perish on to survive real profitable during this whole yr of fiscal in addition to economical disasters. So I backtested the mean-reversion strategy inwards Example 3.8 of my book alongside the most recent one-year SP1500 data. Without transaction cost, the Sharpe ratio is 4.8. Even afterward subtracting x b.p. round-trip transaction cost, it is nevertheless at 3.5.
Since the strategy was constructed over a yr agone piece I was writing the book, this most recent backtest is done on unseen data, alongside absolutely no look-ahead bias!
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