good reversion to mean traders i know dont need the market (ES, NQ, YM, etc) to revert to ITS mean to make money because they are always fairly market neutral. They just need whatever underlying pair, stat arb, hedge etc to revert to ITS mean to make money. On a day like today if your lose money because your longs are dogs, you are just gambling on the hope theres no one directional movement.
Szeven, do you know big hitters (capable of $1M/year) who primarily do reversion to mean intraday? or is it mainly kid's stuff?
Yes, the very best and most profitable (considerably more than i) traders i know are mainly RTM traders.
i agree with Szeven.... been trying, myself to continue down that road. keep in mind, however RTM trading is highly capital intensive and if done correctly runs on automation, small size on many trials with continuous entries and exits AND defined stop loss points, and well thought out money management scheme. "law of numbers" is backbone, to this strategy's success.
Agreed on all fronts Szeven and PQ. ...and Szeven......you're far too modist. Cheers to your success and modisty. RTM works from milliseconds to years. There's a huge field of play on all levels for this. Everyone has their algos, some are just tuned to different frequencies. PS...isn't it time that ATS shows up on the back of a dollar bill or on the back of the constitution or something?
May I ask what software do they use? I've been calculating cross-hedge betas in excel to get the best balance -- # shares of a stock and appropriate ETF. I have a couple of names that seem to work well. Next step is to expand the number of stocks I can do it with.
caementarius, anything and everything. If it has an API, you can program on it. MR.NBBO, they dont make a $44,000 bill last time i checked... Maybe on the Zimbabwe notes?
SNAP! Just ask those guys at Long Term Capital Management about mean reversion. I talk to a guy who sends me trade ideas that are almost exclusively mean reversion trades. I kind of shadow the ideas and keep an eye on them, but if I would have followed them with regular size over the past 3 months, I don't believe I would be trading any longer. Those darn tails. The market can act irrational much longer than anyone can stay liquid. Patience and trends will carry thee through.