Tag: quantstrat
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PBands Lower Band Mean Reversion Long Only — Backtesting Analysis
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,…