I am talking about the book "Algorithmic Trading: Winning Strategies and Their Rationale" by Ernie Chan. His "Mean-reverting" should be arbitrage with two or more financial derivatives involved but not the common anti trend with one derivative. He mentioned his trading experience with "Mean-reverting" is much better than momentum kind and he finds out there are easily to find out the true fundamental reasons behind the Mean-reverting strategies. For momentum strategies, he thinks it is always hard to find a reason to explain like why a trend happens and it would suddenly stop working. He has two books so far. Pretty sure he is sponsored by matlab and he heavily emphasizes matlab is wonderful. Except the matlab advertisement part, he sounds very professional. His trading experience in investement banks and banks are outstanding.
I read his first book, not this one yet. The author has blog where you can ask him to clarify, he's pretty good at responding.
No matter what you read - from scientific publications through books to internet forums, never take what you read for granted ... it is best to draw your own conclusions from the results of your own research, that research can be steered by your readings, that should be it.
I know this and I am one of the an active persons in his blog comments. If I ask a question like this in his blog, he would definitely just say the same answer as he wrote in his book.
I don't know how to correctly backtest arbitrage strategy. Chan mentioned like 6 math formula in his new book but there are no very default formula or code of each. It is also hard to get the correct data to backtest. In Chan book, all results are without commission fee. This could be a big factor since we are talking about at least double commission of normal one product trade. Just because of this factor, I feel it is hard to win in intraday trade while the brokerage firm would love the double commission.
Why people feel the need to suggest that A is superior to B when we all know that people make (and lose) money employing A while others do the same running with B. I am a momentum guy that tends (when sanity prevails) to sit on his hands until I can hitch a ride on bigger players buying or selling. That doesn't mean that I don't welcome pullbacks that allow me to trader with the prevailing tren at a better level but it does mean my plan does not including trading those pullbacks. There are many ways to skin the cat and I don't believe my way is better than your way. It works for me in a modest way and my job is to learn to make those modest profits more substantial and there is a 90% chance I'll end up doing that trading with trend and momentum.