EXAMPLE:
We see that SPY has mean reverting tendencies because the orange curve has outperfomed the blue curve. The orange curve is the performance of SPY only on the days when the previous day was DOWN. This means if the SPY is down big at 3:59pm from yesterday's close then we would look to buy at the close and sell at tomorrow's close.

EDUCATION:
Each asset has different characteristics. Some tend to be mean reverting (choppy) while others like to trend. The purpose of this model is to measure mean reversion vs trending using a simple short term indicator which avoids overfitting. The indicator is "Was the previous day UP or DOWN".