Mean Reversion Trading Systems Practical Methods for Swing Trading
Mean Reversion Trading Systems Practical Methods for Swing Trading by Howard B. Bandy, published by Blue Owl Press in 2013, is a comprehensive exploration of trading strategies focused on the concept of mean reversion. This first edition, comprising 240 pages, delves into the significance of timing in stock trades, particularly how prices tend to return to their historical averages despite market fluctuations. The book builds upon concepts introduced in Bandy’s earlier works, emphasizing systems that capitalize on overextended prices, with the aim of anticipating a return to the mean within short holding periods.
Readers will find a detailed analysis of trading frequency and optimal holding periods, supported by research and mathematical modeling using the Amibroker program. The book highlights the advantages of trading frequently, with a recommended holding period of one to two days. It discusses various systems designed to align with these strategies, making it a valuable resource for those interested in investments, securities, and trading methodologies. The focus on practical methods for swing trading offers insights into portfolio management and the application of quantitative analysis in trading.
Official synopsis Publisher
“The book is an extension of Quantitative Trading Systems and its sequel, Modeling Trading System Performance. The series deals with the importance of timing in stock trades, and in particular with the tendency of prices to fall back to their historical norm despite fluctuations in the market. The focus of this book is systems that enter when price is overextended — far from the recent mean — anticipating that price will revert to the mean, with holding periods of a few days. [Dr. Bandy’s] analysis of trading frequency and holding period concludes, after research and mathematical modeling using the Amibroker program, that the sweet spot for holding period is one to two days, and it is desirable to trade frequently. This book discusses systems that closely fit those sweet spots.” Adapted from author’s introduction.
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