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指数（S&P500）的短期均值回归（Short-Term Mean-Reversion）交易系统，分析了黑天鹅（Black Swan）策略的有效性，以及此类交易系统的风险收益特征。在界定黑天鹅事件时，本研究针对两组投资组合采用了多种分析策略。通过Python代码笔记本（Python Notebooks），本研究对比了黑天鹅策略与布林带（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）的表现性能。随后，本研究验证了止损（stop-loss）等风险缓释技术对交易绩效的影响。本研究最终得出结论：可构建长期跑赢市场的均值回归交易策略。