Yes that looks more correct. So now that price is up against/near the 3SD, its very likely that will be a large swing that is not going to end or revert anytime soon like the previous one that was hanging around the 1SD line, so getting really short ...

A Simple Mean Reversion Strategy

No, and as a someone who has been a software engineer professionally for over 10+ years it may be surprising that I don't like programmatic trading. I love building models, back tests, etc and using software in that way, but in terms of actual ...

A Simple Mean Reversion Strategy

Hey Merka, thanks for sharing! I totally agree with your points, but I don't think it means something shouldn't be traded if it fits your trading style. You are correct that you don't know in advance if the market is going to range or trend, and ...

A Simple Mean Reversion Strategy

Thanks for sharing the zorro stuff. I checked it out and doing a quick spot check on AUDUSD my graph looks similiar to theirs: image The blue line is the actual price, and the red line is a GBM generated price. They almost surely are just ...

A Simple Mean Reversion Strategy

I think a good place to start is looking at the distribution of the MA candles. The kurtosis on this distribution is crazy high, making it so that for a lot of pairs, the distribution should have these characteristics or something close/similar: - ...

A Simple Mean Reversion Strategy

Thanks for sharing your results! They are inline with my findings. Regarding how I came up with the strategy, it’s explained pretty clearly in the thread but the main points/ideas that led me here are: - edges must exist in distribution (have ...

A Simple Mean Reversion Strategy

Awesome work on this post carddard! I am glad you have found some value in the ideas I have shared here, and likewise always enjoy reading your posts as well. I have never done an in-depth test like what you have done in your post to come up with ...

A Simple Mean Reversion Strategy

1-When you first started, what were your expectations around daily / Weekly / monthly or yearly returns? Starting out, I think everyone falls into these traps of thinking about returns in percentages. But this is only helpful in investing. If you ...

The Truth of Profit ?

Hey AntiCre! Glad you stopped by and shared some thoughts. I always enjoy reading your work as I can see that we have very similar approaches to how we view the market. I also have the never-ending bug of searching for more regarding price and ...

Where's The Edge?

I typically use a fixed lot size for each entry. If it starts really running you can break your "entry" in 2 legs so you add 1/2 of the new entry at a time. For leverage, I wouldn't start with anything larger than 1:1 per entry. Especially when ...

A Simple Mean Reversion Strategy

100% agree. These approaches are usually red herrings. Would be interesting to see chart if it showed all of the projected values at each step so you could see the differences between projected and realized values.

A Simple Mean Reversion Strategy

Hey parisboy, Do you mind clarifying what you are trying to show in these? I assume the bands are where you are looking to enter to trade back to fair value, but am curious how you are calculating their widths?

A Simple Mean Reversion Strategy

Yes sir! They were “highly leveraged” which caused them to blow up. It’s the same thing that causes anyone who has ever blown up in the past or will blow up in the future. Nothing new or revolutionary about it. A tale as old as time. Even with ...

A Simple Mean Reversion Strategy

Thanks for dropping in alphaomega! Big fan of your work! You guys are really missing the point I am making though. I have explained the exact question quoted in detail multiple times in the thread. Specifically, the information around delta hedging ...

A Simple Mean Reversion Strategy

This is exactly what I am saying.

A Simple Mean Reversion Strategy

Thank you! The 3 charts together paint a good picture of what I am trying to describe with skew. If you slice certain parts, it appears like there is some kind of skew. However you are simply slicing down to small sample sizes, where the illusion of ...

A Simple Mean Reversion Strategy

very cool graph. With the +3% and -2% graphs, are things changes of + or - 3%, etc? Or only looking at +3% moves (not -3% in last 24hr moves)? can you draw the graphs with no filtering, so it captures all 1.4m data points?

A Simple Mean Reversion Strategy

No no no, it’s not a straddle. I am talking about a single call or put contract. Even with a SINGLE contract, you are trading volatility in the aggregate of your trades, not direction. A some example: Here is a call price with following inputs: ...

A Simple Mean Reversion Strategy

How do you know this single path is a true representation of population skew and not just a long lead on a distribution with no skew? I have tried to solve that problem for years and years and years but never cracked it… For every path like this, ...

A Simple Mean Reversion Strategy

Haha yes on the surface it does appear directional, similar to an option contract. But at its core, it’s not a directional bet. Lets think back to how the price of an option contract is calculated. For one contract in isolation, it’s a directional ...

A Simple Mean Reversion Strategy