Intraday Trend Following and Conditional Mean Reversion
Intraday Trend Following and Conditional Mean Reversion Yanyi Huang Abstract This study examines whether transparent intraday trend-following and conditional mean-reversion rules can generate statistically robust net returns in the Invesco QQQ Trust (QQQ), and whether those rules can be translated into a resilient broker-facing trading process. Two trend strategies are considered. The first combines exponential moving-average direction, MACD confirmation, ADX trend strength, and a volatility-expansion filter. The second compares a short volume-weighted moving average with a longer price average. A third strategy enters Bollinger %B mean-reversion trades only when a rolling Hurst estimate or variance-ratio statistic indicates a reversion-compatible state. ...