The way I discovered this algorithm was initially I wanted to buy the previous day's best performing sector ETF, with a hypothesis that the momentum would continue. But I learned that it actually ended up losing money.
So I decided to inverse the algorithm. There are still a few optimizations I can test out, e.g. Buying the previous day's worst performing sector.
I'm sure that in the ~60 seconds I wrote this post, some brilliant future software engineer just reinvented binary search.
It is also clear from other posts by the author that this has not been tested in the real world, only back tested.
Practitioners largely consider back testing to be somewhat irrelevant as it’s hard to achieve real world results that compare favorably to the back test. It is essentially over fitting the curve.
There is a good reason successful hedge funds like RenTech are not hiring finance people but mathematicians who have no idea about "mean reversion" and other pseudo-scientific terms.
It’s definitely not the case that they want people to reinvent the wheel. Options pricing for example is a Nobel prize winning discovery.