The OLMAR method, which stands for the on-line moving average reversion method, is reported to be one of the most powerful among portfolio selection.
Oct 22, 2024 · The analyses confirm the following points. 1) The OLMAR method yields superior returns. 2) By using the moving average divergence rate provided ...
The OLMAR method, which stands for the on-line moving average reversion method, is reported to be one of the most powerful among portfolio selection algorithms ...
The OLMAR method proved that excessive return was obtained by using the characteristic property showing the mean reverting tendency, which can be selected by ...
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What is the Olmar strategy?
What is the analytical tool used to measure the variability between a particular stocks or portfolios movement and that of the market?
Though simple in nature, OLMAR has a reasonable update and is empirically validated via extensive experiments on real markets.
The experimental results show that OLMAR not only can achieve better performance (in terms of cumulative wealth) than existing algorithms, but also can avoid ...
Section 4 presents the proposed OLMAR approach, and its effectiveness is validated by extensive empirical studies on real stock markets in Section 5.
Empirical evidence show that stock's high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While the ...
Jan 29, 2020 · In this section, we present the MAMR strategy based on the multiperiodical and asymmetric nature of mean reversion.
Jun 1, 2023 · The research [18] shows that it is a reasonable method using mean reversion to predict the stock price in the real stock market environment. In ...