Having played around with mean-reverting portfolios (not just pairs) for ages, I recently came across the idea of studying trending portfolios as anti-mean-reverting ones. The process of estimating the best trending portfolio out of a given universe of assets is a mirror image of the process of constructing the best mean-reverting portfolio. Has anyone tested this kind of a strategy?
If you do not know what I'm talking about, go and get historical security data from Yahoo! Finance from 2003 onwards for the following portfolio:
LONG 330 CME (CME Group on Nasdaq)
LONG 440 M (Macy's on NYSE)
LONG 840 WHR (Whirlpool on NYSE)
This portfolio trends immensely well - almost any simple trend strategy would have worked.