Were Mean Reversion traders down today?

Just wondering..

I've been testing a Mean Rev. type strategy the past couple weeks and was wondering.

Its been working great till I got walloped today. Equity trades, multiple positions.

thx

 

was down alot, recovered and could have finished green but got greedy and ended up red after the last 20 min drop. i consider today as my lucky day, since the shit could have really hit the fan. on days like today i know that i suck because i don't use a trend-following approach to supplement the mean-reversion.

 

That type of "strategy" generally lets you eat like a bird and defecate like an elephant. You'll make money slowly and lose it quickly.

 

This is (unitentionally) a great post.

 

Yes, Monday was rough .... today is much better.

 

for me the day started great but was supplemented with 2 hours of rape at the end. i am green today, a miracle I suppose

 

Well, I don't know what to say exactly as I always use the same approach and it always seems to work pretty well.

I use a dynamic basis for my reversion and I couple it with landmarks taken from Market Profile. I try to trade from the "outside in" as any good reversion trader should, and for me anyway it is a matter of whether I have calculated my levels correctly. If I have, price will hit one of my marks. If that mark coincides with a Market Profile number or a pivot, I am good to go....Today was about like any other day. 4 trades, 3 winners, 1 loser.

Frankly I am more concerned with making sure I don't miss a setup or make a mistake managing the trade once its live.....

Here's an example of one of the trades that worked out. Price hit what I call an "extension" point at 10:03EST. I got long on the next candle at 1248.75. I stretched my scales out for this one because I thought it might run, but....it didn't.

Steve

 

Same here .... I spoke too soon!

I got caught short in LEN and some financial stocks into the close. Still not a bad day though. With the financial stocks in bear-market-rally mode, and commodity stocks moving 5-10 pts, the next few days might be tough also.

 

Cliff's Notes on this strategy?

 

I've had very good results the past 2 days and have successfully used a mean-reversion strategy all my life.

But I generally don't use intra-day moves as setups - only make entry decisions based on closing prices. I also supplement the strategy with heavy fundamental knowledge.