Reversion To the Mean (RTM) Intraday Strategies

Discussion in 'Strategy Building' started by Trend Fader, Dec 21, 2008.

  1. Tums

    Tums

    Before I go into the details of this example, let's take a minute to look at the global context:

    In order for RTM to happen,

    1. There must be a mean, otherwise there is nothing to revert to.

    2. in order to have a mean... the instrument must oscillate.
     
    #61     Jan 13, 2009

  2. You started it by being disparaging.

    I simply made an observation/opinion and you had to go and be all butthead about it.

    Let's move on.
     
    #62     Jan 14, 2009
  3. Tums

    Tums

    Some people like to make simple observations,
    some people like to make mindless opinions.

    Some people are here to prove they are ignorant.

    Read my post again, you might learn something.
     
    #63     Jan 14, 2009
  4. yayt

    yayt

    I wonder if one can ignore moderators.

    As for the strategy, the way I could approach it is trading in a range bound market and buying when price is falling to support, and selling when price is rising to resistance. In this case the mean would be the middle of the range (or somewhere along those lines)

    I believe in the ES journal there was an example of this for yesterday or maybe Friday, it was possible to get about 8 such swings?

    Today as well, although not near as 8 (more like 4 at the most, that I see at least).
     
    #64     Jan 14, 2009


  5. I did read it, it was useless + immature with no real basis in fact, just your arrogance and insults.

    You never even stopped to ponder what I originally meant and have not even addressed the 2 questions I asked you about it to elaborate.

    Instead, you spew drivel like the above, trying to make yourself look superior. It is a thin veil, pal. No one is fooled.

    I'm done conversing with you, it's not worth my time.
     
    #65     Jan 14, 2009

  6. This is in fact completely false. Any instrument that varies in price, ever, has a mean. Even when trending. Oscillation is not a prerequesite for a mean.
     
    #66     Jan 14, 2009
  7. Tums

    Tums

     
    #67     Jan 14, 2009
  8. I never said I wasn't going to participate in the thread discussion - and I did not post my comment about the inaccuracy of your statement for your sake, but rather for others in the thread.

    I call BS wherever I see it.
     
    #68     Jan 14, 2009
  9. Tums

    Tums

     
    #69     Jan 14, 2009
  10. ej420

    ej420

    great thread guys. I will incorporate some of the volatility compression in my research.
    tums you have been around here for a while and I haven't folloowed your posts but with all due respect you are not adding much substance with bickering and rhetorical questions.
     
    #70     Mar 21, 2009