Ways of testing Mean Reversion

Discussion in 'Strategy Building' started by etfarb, Mar 25, 2013.

  1. Eventually, all moving averages will be re-visited...because they are 'averages'.

    However...

    If you are looking at a moving average on a 'Daily' basis, you have to realize it is calculated on the 'Close'. Here's the problem - it may not reach the moving average on an intra-day basis...but at the end of the day, it will certainly look as though it did. This is why looking at charts can be deceiving.
     
    #21     Mar 30, 2013
  2. Yeah, back before 2008 I used to make nice money doing this with Lehman. It was a beautiful thing. I still mourn its untimely demise. For the methods I use, there was never a more perfect stock. Sigh.
     
    #22     Mar 30, 2013
  3. gmst

    gmst


    Overall good discussion in the thread. If you would like me to point out particular posts that I really liked.

    1) There was a post which had an attachment that compared residuals of spline against MA. I found it useful.

    2) There were some posts by Mike805 wherein he distilled his experiences. I found those posts useful too.
     
    #23     Mar 30, 2013
  4. You don't need "fancy" tools to make mean reversion work, as some of the posts/threads links suggests. What you do need, is a sideways market that extends itself to confluence.

    Crazy how people complicate this business so much.

    Sometimes the brilliance can simply be found in simplicity.
     
    #24     Mar 30, 2013
  5. Yes,it is,my dear!Come gimme a hug!

    :D
     
    #25     Mar 31, 2013