Mining for Three Day Candlestick Patterns
I’ve been thinking a lot about candlestick patterns lately but grew tired of trying to generate ideas and instead decided to mine for them. I must confess I didn’t expect much from such a simplistic approach, so I was pleasantly…
IBS and Relative Value Mean Reversion
I’m writing a paper on the IBS effect, but it’s taking a bit longer than expected so I thought I’d share some of the results in a blog post. The starting point is a paper by Levy & Lieberman: Overreaction of…
Closing Price in Relation to the Day’s Range, and Equity Index Mean Reversion
The location of the closing price within the day’s range is a surprisingly powerful predictor of next-day returns for equity indices. The closing price in relation to the day’s range (or CRTDR [UPDATE: as reader Jan mentioned in the comments, there…
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