CVI- A New Indicator to Predict Trend vs MR Performance
I would like to synthesize some of the previous work to present a valuable indicator —the CVI—that helps project whether trend following systems or mean reversion systems will perform better on the S&P500. The CVI stands for “Composite Volatility Indicator.”In this post we will look at how CVI helps to moderate daily follow-through. As a primer for this post I recommend reading two articles: Michael Stoke’s (MarketSci) original article on daily follow through: http://marketsci.wordpress.com/2008/07/17/evolving-markets-dynamic-systems-daily-follow-through/ In addition, under a different moniker, Rob Hanna of Quantifiable Edges has written about trend vs chop on his blog: http://quantifiableedges.blogspot.com/2008/08/how-to-trade-choppiest-environment-in.html Rob has designed some excellent trading systems for subscribers to take advantage of this effect.
Coming soon! ETA Friday aft