optimal strategy is to run several strategies together concurrently and overweight capital into what's working until it isn't. trend and reversion strategies swap off throughout the year. don't believe anyone who says any one is better because markets constantly shift. the dow stays in a range 75% of the time vs. trend past 100 years. spread trading you need to put in a ton of dollars to get the same kind of return that an effective trend or reversion strategy makes at a fraction of the capital. there is no grail.
Look at how many times historically you would have been CRUSHED timing the market using your "context".
wrong. your example assumes a constant trade time frame and excludes trade and risk management. no one ever holds a trade for exact same duration every trade.
Wrong wrong wrong OH so wrong. Spread trading futures ? Futures spreads get a ridiculously fantastic SPAN performance bond margin CREDIT from the exchange. I can hold a Eurodollar calendar spread overnight for $560. Perfect example - As a comparison, I have a client who went live on March 01, 2011 with a $25K account. He has returned 45% net on that as of yesterday. In four months, on a net basis, he has over $36K in his account. Advantage Futures clearing, CTS front end, eSignal running my models, those expenses deducted from the account. Non-Member rates. Swing trading futures spreads. Max drawdown ridiculously modest. Overnight SPAN performance bond margin credits of 65 % to 90 %.
Fine. Count up the buys and sells on "overbought" and "oversold" conditions. Use any timeframe you want. Use any holding period you want. Backtest it. You are going to be selling them "overbought" and buying them back even higher at a much greater rate than vice-versa. And I do not see much in the way of mean reversion, either.
You also assume that all reversion and directional traders are made equal. Spread "trading" lies in between trading and treasury/cd interest.
I've been in prop equities for over 12 years and seen directional traders with 50k up returning 7 figures in 6 months.
Right, there can never be an absolute right or wrong in directional trading (unless stock is bankrupt and de-listed) because outcome is relative to time and time frame is never constant or exactly defined. two people can take the same exact trade and have two very different outcomes. Trader's edge is then derived from other variables.
What, during the dot-com tech bubble ? Lately ? Bullshit on you. Liar. And you know nothing about spread trading futures, have no background with them apparently, and appear to be perfectly willing to post all kinds of made-up falsehoods about them. Like you would know.