Mean-reversion stop-loss methods

garchbrooks · Apr 25, 2010

Quote from phattails:

you could hedge with other baskets. you can test when it's optimal to get out of the basket. you could model and assume price shocks as alternative subset play. you could hedge volatility. you could model longer or shorter plays to also hedge. you could also better select markets to trade.

sounds like you should at least incorporate volume in your model.
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Yep. R&D all night and day. Make money, then party all night and day.

goodgoing · Apr 26, 2010

Stay away from mean reversion unless you are seeking a place in "mean-reversion graveyard". markets can refuse to mean-revert longer than you can stay solvent.

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Mean-reversion stop-loss methods

garchbrooks

goodgoing

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