Tag: quantstrat
-
PBands Lower Band Mean Reversion Long Only — Backtesting Analysis
Backtest period: 2016-01-01 to 2020-01-01 | Universe: XLP | Engine: quantstrat (R) — Strategy Overview My hypothesis was that consumer staples can drift too far, too fast from their short-term fair value and then snap back as buyers step in. In a sector like XLP, where earnings and cash flows tend to be relatively…