Data for: 3538891

Published: 29 November 2021| Version 4 | DOI: 10.17632/msrfc7z3yr.4
Mark Babayev


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.


Steps to reproduce

Upload all "PKL" and "PY" files into the Jupyter notebooks and run them.


WorldQuant University


Finance, Data Science