you really want to mortgage your place don’t you?

A Simple Mean Reversion Strategy

yes that is exactly correct. The large bodies in those big candles are those huge moves where theta eats up a ton of pips. As I said earlier, this isn’t some insanely high win rate strategy so there will be losses. It’s all about managing the trade ...

A Simple Mean Reversion Strategy

A man of the people! Thanks for sharing! When you draw price like this, hopefully, it becomes very obvious that fading wicks seem like a pretty good idea

A Simple Mean Reversion Strategy

Sure, here is how I calculated each OHLC for the charts I posted. - OPEN = (Close > MA && Low <= MA) || (Close < MA && LOW >= MA) - One or the other - CLOSE = (High > MA || Low < MA) - Depending on what triggered the open. We aren't looking for ...

A Simple Mean Reversion Strategy

I think yoriz is going to code one, so if he wants to post it that will likely help. Anyone with decent coding experience should be able to easily do it in MT4 or PineScript (Trading View). I do all my coding/modeling in Python so my scripts will ...

A Simple Mean Reversion Strategy

It's drawing the candles where the open price is first close above/below MA to start an opportunity to capture a premium or discount. The high/low is the same (MAE/MFE for the move) and the close is the MA value of price returning to "fair value".

A Simple Mean Reversion Strategy

To continue the look at price as folks like PipMeUp and others have been doing, I want to share the concept of "fair value" candles. I have written about it in the past in my other thread regarding indicators and how when you use them, you are ...

A Simple Mean Reversion Strategy

beautiful chart PipMeUp! The tails are very easy to see here! The higher the timeframe the “smoother” the distribution will be. The lower the timeframe, the larger the tails will be. As kurtosis grows, most of the distribution will ...

A Simple Mean Reversion Strategy

Glad you find it interesting! Just as it has been this far, nothing in this thread or system is secret, propertiary or sold by me. There is nothing to buy. Everything is and will always be clearly explained and given for free in the thread. And any ...

A Simple Mean Reversion Strategy

Essentially yes. Larger volatility means larger expectancy in terms of pips, not necessarily in terms of % of risk. Something I want to make sure is clear though, volatility itself does not lead to fatter tails. You can have low and high vol in a ...

A Simple Mean Reversion Strategy

Taking the ideas from this post, let's extend them to this strategy... We will start with a very simple base model with the following inputs: - Price Distribution: We will assume a perfectly normal distribution for now. (0 Skew, Kurtosis of 3) - ...

A Simple Mean Reversion Strategy

the method of optimizing is a bit flawed. You can always data mine perfect parameters for a sample. But that will result will only stick it all of the inputs stay the exact same in the forward test… which they won’t. better to make a model, play ...

A Simple Mean Reversion Strategy

that’s a good question and I will explain when I get time to write another long post. the reason I started with explaining it in option theory is because everyone believed and knows market makers make money. they do so using the ideas in first post. ...

A Simple Mean Reversion Strategy

I have heard the 80/20 rule as well and have always found it interesting. for me though, I have always found it hard to determine what is a trend and what’s just a tail move in a distribution with no skew? Hard to tell the difference, at least for ...

A Simple Mean Reversion Strategy

This a long Saturday post to hopefully nudge you so you start changing how you think about trading. How to use a model and profit from errors... I have written about it many times in the past but never as clearly as I want to lay it out here and ...

A Simple Mean Reversion Strategy

Interesting approach but will result in essentially little to no tradable occurrences so it will be very hard to see the benefits of CLT. Think of the 08 numbers posted earlier by abokwalk. If you are waiting for that distance to be exceeded, you'd ...

A Simple Mean Reversion Strategy

Yep, something that can be misunderstood about this strategy is, it's not supposed to be some 100% win rate martingale type system. There will be losses. The larger the spread you use to enter, typically results in lower win rates but higher ...

A Simple Mean Reversion Strategy

This guy gets it! This is why I didn't want to get into "entry signals" at the start, people go crazy and just want red/green lights to click the buttons. It's also why the entry is open to personal preference. RSI is just one flavor of seasoning ...

A Simple Mean Reversion Strategy

You shouldn't have added until theta ate up nearly all of the original opportunity. I will post about rolling soon to try and get out of rough spots.

A Simple Mean Reversion Strategy

If you are adding at all those lines I hope you are staying small, otherwise DD could kill you.

A Simple Mean Reversion Strategy