A typical property of mean reversion strategies is that while it may feel great as you're picking up nickles in front of a steamroller one should prepare for losing one's hand occasionally
Well, I don't know of any strategy that's infallible or would you say in mean reversion the targets are small the accuracy is high but the risk is large? Thank you No Heat
When hunting for correlations, can you find better/stronger correlations by measuring the day session, or by including gaps? In other words ... correlate HLC off the open value or HLC off the previous close? I know I should do my own homework on this, but any thoughts?