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Composite Mean Reversion with Aggregate M by jacek is a document available to read on EtoBox.

The document introduces a new indicator called the Aggregate M indicator. It combines concepts of trend following and mean reversion by taking the average of long-term and short-term percentile ranks. Testing on S&P 500 data over 4000 bars showed high accuracy and good gains. In separate tests of 20 markets back to 1984, it achieved a 27% compound annual growth rate. While not necessarily the best method, it performed well using just two simple parameters and without optimization.

Author

jacek

Language

EN