Data for: 3538891

This research analyzed the effectiveness of Black Swan strategies for the Short-Term Mean-Reversion systems, the risks and rewards profiles of such betting systems based on the S&P500 index. In determining the Black Swan events, the research made use of multiple strategies against two portfolios. By utilizing the python notebooks, signals created by the Black Swan and Bollinger Bands trading strategies were compared for performance against the baseline index (buy-and-hold strategy). This was followed by a validation of how risk mitigation techniques like the stop-loss affect the trading performance. The research concluded that it is possible to construct a Mean-Reverse strategy that outperforms the market over time.本研究针对基于标普500（S&P500）指数的短期均值回归（Short-Term Mean-Reversion）交易系统的黑天鹅（Black Swan）策略有效性，以及该类交易系统的风险收益特征展开分析。在界定黑天鹅事件范畴时，本研究针对两类投资组合采用了多套分析策略。本研究借助Python笔记本（Python notebooks）工具，对比了黑天鹅交易策略与布林带（Bollinger Bands）交易策略生成的交易信号，相较于基准指数——买入持有（buy-and-hold）策略的业绩表现。在此基础上，本研究进一步验证了止损（stop-loss）等风险缓释技术对交易业绩的影响。本研究最终得出结论：可构建长期业绩优于市场的均值回归交易策略。