L lwlee Oct 19, 2011 #1 For equities, what are the various types of mean reversion strategies used for daytrading? I know 3 that are fairly common. - opening orders - pairs trading - gap plays Any others? Does anyone do price reversion using standard deviations or beta?
For equities, what are the various types of mean reversion strategies used for daytrading? I know 3 that are fairly common. - opening orders - pairs trading - gap plays Any others? Does anyone do price reversion using standard deviations or beta?
I intradaybill Oct 19, 2011 #2 Pattern win rate reversion to the mean This is the most dynamic mean reversion I have found. I am still working on this method. More information in this thread http://www.elitetrader.com/vb/showthread.php?s=&threadid=215283&perpage=6&pagenumber=3 You can extend this to strategies as well because patterns are basically startegies.
Pattern win rate reversion to the mean This is the most dynamic mean reversion I have found. I am still working on this method. More information in this thread http://www.elitetrader.com/vb/showthread.php?s=&threadid=215283&perpage=6&pagenumber=3 You can extend this to strategies as well because patterns are basically startegies.
