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Connors’ Weekly Mean-Reversion

Summary

The Alpha Portfolio does not fit well with TuringTrader’s end-of-day market-order trading approach, and we decided not to release it. However, check out our review of Connors’ book The Alpha Formula.

  • Objective: aggressive growth w/ contrarian exposure
  • Type: mean-reversion strategy
  • Invests in: xyz
  • Rebalancing schedule: xyz
  • Taxation: xyz% short-term capital gains
  • Minimum account size: $xyz

Blurb about objective, construction, maintenance requirements, and target audience.

Performance

This table shows the portfolio’s key performance metrics over the course of the simulation:

The following chart shows the portfolio’s historical performance and drawdowns, compared to their benchmark, throughout the simulation:

This chart shows the portfolio’s annual returns:

The following charts show the Monte-Carlo simulation of returns and drawdowns, the portfolios 12-months rolling returns, and how the portfolio is tracking to its benchmark:

Asset Allocation

The portfolio last required rebalancing after the exchanges closed on @last-rebal@. Due to fluctuations in asset prices, the exact allocations vary daily, even when no rebalancing occurred. The current asset allocation is as follows:

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Strategy Rules

The operation…

  • xyz

Blurb about the strategy rules

Diversification

Blurb about diversification.

Returns & Volatility

Blurb about returns.

Account & Tax Considerations

Blurb about accounts.