# mean_reversion / 1

Hypothesis. Over a couple of days, a sharp move away from the recent average price is partly a liquidity shock that reverts: an asset trading well below its 48-hour mean tends to bounce back towards it (the lower Bollinger band as a buy zone).

Rule. z = (close - mean48) / std48. Weight per symbol = (1/N) * clip(-z / z_full, 0, 1): nothing at or above the mean, scaling in linearly below it, fully in at z <= -2. There is no memory: the position shrinks as the price returns to its mean. Long-only, so it never sells the upper band short.

What would refute it. It buys falling prices: in a sustained down-trend it is repeatedly long while the price keeps falling ("catching a falling knife"). It trades often, so costs weigh heavily; with 20 bps per side the average bounce must be several times larger than that to leave anything.