Mean Reversion

[Peter8519]

I screen the % daily change and tabulate the observations into 5% intervals.
Oct 2017

Oct 2020

The peak observations are in cyan. In less volatile period, the peak tends to hover near zero whereas more volatile period, the peak move away from zero. It has no predictive value but it allow us to craft strategy for volatile vs less volatile market.

 

[easymon1]

has a chart depiction of this data been made?

 

[Peter8519]

All the charts are "bell" shape curve. Based on my anecdotal observation, curves with mean near zero and smaller standard deviation, tend to trend smoother and last longer.
Oct 2017

Oct 2020

 

[Peter8519]

Variance chart for Nov 9, 2020. This is really fat tail.

 

[Peter8519]

Trend following strategy needs guts to withstand draw down.

 

[longandshort]

basic noob - follow the trend/chart/pattern/signal
smarter noob - trade mean reversion, charts don't work use statistics!
enlightened noob - there is no mean reversion in the daily time series data, all economic profits go to 0 so no signal will last for long
advanced noob - cointegration of pairs is tradeable...