Reversion to the Mean

IVT,

I assume you are saying that crossovers are of no value. Something that shows vols at say a high or low percentile would be more reliable to trade off of?

Quote from IV_Trader:

I hope you are not trading vols based on the 100/10 crossovers. Are you sure that a lot of traders using this strategy ?


09-21-06 07:02 PM

Quote from Arnie:

Take a look at range contraction. AMD today was a good example. Yesterday it had a very narrow range. All the contraction means is that you are more likely to get a break in either direction...an expansion of the range. Same with Volatility contraction. Plot the 100 day Volatilty and then plot a shorter period like 10day or 5 day. When the shorter period Volatilty dips below the longer, you are likely to get an expansion in Volatilty, (a reversion back to the 100 day) you just don't know in which direction. A lot of option trading is based on this principle.

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Quote from LeonPhelps:

IVT,

I assume you are saying that crossovers are of no value. Something that shows vols at say a high or low percentile would be more reliable to trade off of?
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not really. Since 2001 stocks slowly drifted from upper percentiles to lowest , second or third. Where would be your entry point to go long on vols ? At fifth , third ? You would of lose a lot of money. Even the lowest percentile is not safe , because any entity can build a lower lows.
Also , would you short the "inflated"/of the chart vols one day before FDA hearings ?

Its all case by case
 
Quote from HoundDogOne:

Yes and no.

Some elements of "techical analysis" may approximate the methodologies used in quantitative analysis...
The problem is...
That the field of TA is polluted with countless, unfounded beliefs like "pattern repetition", "resistance levels", on and on...
All jacked up by Insatiable Greed and Industry Propaganda.

In 2006... every aspect of TA can be rigorously backtested by a talented 16 year old and debunked...
But no one ever bothers... everything is an article of faith.
After having met 100s of amateur traders... I believe that TA is like crack.
Someone indoctrinated into the "easy money" of TA... can NEVER be deprogrammed.
(There is no such thing as easy money).

Quants only use charts to get a good overview of the situation...
Meaning "chart patterns" are NEVER a basis for a trading decision.

The mathematical techniques used by Quants to find mispriced securities...
Cannot be approximated by "looking at charts."

Also... the ** actual definition ** of "data mining"...
Is to use statistically fallacious techiques to scan mountains of data...
And pull out worthless, random patterns that do not continue into the future.
It is a brilliant con by the Securities Industry to actually re-invent "data mining"...
As a way for a noob to take money away from experienced pro traders.

Basically...
Any Doctoral Stats level expert would dismiss 90% of TA out of hand in 60 seconds...
And not bother to argue with someone who's dog was kidnapped by aliens.

Hope I addressed a few of you points...
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Federal Reserve Paper finding support resistance to be real in the currency markets.


http://72.14.209.104/search?q=cache...pport+and+resistance&hl=en&gl=us&ct=clnk&cd=8

And while I was making hundreds of thousands of dollars,and hundreds of precent returns per year in up and down markets -- trading stocks against a moving average while comparing them to the s&PS in relation to that same moving average, I thought I was doing technical analysis.

Later, when academia got involved in the field and brought some legitmacy to it, I learned what i was really doing was "arbing" or looking for mispricings.
 
Quote from jem:

Federal Reserve Paper finding support resistance to be real in the currency markets.


http://72.14.209.104/search?q=cache...pport+and+resistance&hl=en&gl=us&ct=clnk&cd=8

And while I was making hundreds of thousands of dollars,and hundreds of precent returns per year in up and down markets -- trading stocks against a moving average while comparing them to the s&PS in relation to that same moving average, I thought I was doing technical analysis.

Later, when academia got involved in the field and brought some legitmacy to it, I learned what i was really doing was "arbing" or looking for mispricings.
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for a printable verison of Jem's link.
http://www.newyorkfed.org/research/epr/00v06n2/0007osle.pdf

Ineresting read, thanks.

Bsulli
 
Yea I saw what I wrote was kind of harsh.
By the way, I think I do have a bit of chip. Because I believed my Econ professors when the taught the emh and said it stood for the fact that no one could make money in the markets. (mid 80s belief) So instead of going to work for some of the hedge fund guys in Greenwich to whom I taught tennis. , I went to law school. Which I suspect cost me a lot of time an money.
 
Quote from VSTscalper:

I don't know if this is what is being talked about in this thread....but I thought I would show how I use the SD_Mean.

This chart is a 10 tick ER. Depending on the speed of the Market....I often Scalp on 10 or 20 tick charts. Most of the time....I try for 2 ticks....on 4 contracts.

Rather than using SD on the Price....I use it on my Indicator_Oscillator.

The OB_OS lines that you see....adjust automatically....as the market is moving throughout the day.

OB_OS = 1_D
Extreme OB_OS = 1.5_D
Wild Extreme OB_OS = 2_D

While I won't go into details on my Scalping method in this thread....when the Indicator crosses the 1.5_D or 2_D....I have a very high win rate....Scalping the opposite direction.

I find this much better than using lines on the Candles or Bars.

I saved this chart as a Gif....doesn't look as good here....as it does in Paint or in TradeStation.

Good trading to all.

VSTscalper
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HI VST
thats the style I like.
Can I get the formula somewhere I would have to try to adapt it my software since I don't have/use TradeStation.

Charly
 
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