On the Profitability of Optimal Mean Reversion Trading Strategies
Huang and Wang (2016) study short-term reversal in equities. The abstract mentions a Sharpe ratio, profits and an out-of-sample test but not a benchmark, transaction costs, multiple testing or the size of the universe.
“In particular, Crown Castle International Corp. (CCI) and HCP, Inc. (HCP) achieve a Sharpe ratio of 2.326 during in-sample period and a Sharpe ratio of 2.425 in out-of-sample test.”
AssetEquities
StrategyShort-term reversalpairs trading
GeographyGlobalUS
ClaimSharpe ratioprofit
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodShort-term reversal by year
FamilyShort-term reversal17Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 985
AssetEquities12
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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