Mean-Reversion (MR)2

This model screens several markets for equities that have had extreme moves to the downside. Due to the general positive drift in the market, the model only produces buy-signals. The model takes into account the volatility structure of the equities it screens – i.e. the length and depth of the price waves. Based on the volatility structure, the model optimizes the holding period of the positions. In other words, of the price waves are long and deep, the model suggests holding a position for a long time, whenever it gives a signal.